It's not working for me, i'm getting:
dial tcp: lookup mempool.space on 127.0.0.53:53: server misbehaving
and sometimes:
dial tcp: lookup mempool.space on 127.0.0.53:53: read udp 127.0.0.1:39758->127.0.0.53:53: i/o timeout
and I tried setting the proxy on /etc/environment and via the export command.

Looks like a DNS issue, what environment variable are you using? Any of these: https://cs.opensource.google/go/x/net/+/4a448f88:http/httpproxy/proxy.go;l=92-93 ?

I tried both of those, none worked. It sounded like a DNS issue to me too but, in my case DNS is handled by the parent proxy. I'm completely disconnected from the internet, my only window is that proxy server. OR, maybe I'm doing something wrong...
I downloaded the "http-proxy-client" branch, ran directly from the code go run main.go... didn't work, then I compiled it go build and neither way worked.

Are you behind an HTTP or SOCKS proxy?

HTTP, but I can test with Socks too if I use TOR...