The explicit connection in explicit deployment the Proxy first performs a connect (this is the connection between the client and Proxy) request needs to be allowed.
The following solution is based on allowing the /worldnews subpage on reddit and blocking the rest of the domain.
Check Add CPL to a local policy file on the ProxySG
<Proxy>
ALLOW http.method=CONNECT url.domain=//reddit.com/
ALLOW url.domain=//reddit.com/r/worldnews
DENY url.domain=//reddit.com/