CURLcode curl_easy_setopt(CURL *handle, CURLOPT_PROXY_KEYPASSWD, char *pwd);
Pass a pointer to a null-terminated string as parameter. It will be used as the password required to use the CURLOPT_PROXY_SSLKEY(3) private key. You never needed a pass phrase to load a certificate but you need one to load your private key.
The application does not have to keep the string around after setting this option.
CURL *curl = curl_easy_init();
if(curl) {
curl_easy_setopt(curl, CURLOPT_URL, "https://example.com/foo.bin");
curl_easy_setopt(curl, CURLOPT_PROXY, "https://proxy:443");
curl_easy_setopt(curl, CURLOPT_PROXY_KEYPASSWD, "superman");
ret = curl_easy_perform(curl);
curl_easy_cleanup(curl);
}