HTTP CONNECT requests in Apache web server log

Solution 1:

Does those entries (...) mean that my server is used as an open proxy?

No, 302 is just the code for "found" or "here is something". The server got a request and logged it.

Why someone would ask my server to CONNECT that way to my domain?

To find open proxies. There are thousands of services scanning servers like yours. For security or "other" reasons.

Is there something can I do in order to block redirections

A redirection is a clients thing, your server would have to send a 301 code (for example) to the client.

... and secure my server without to disable mod_proxy?

It is always a good practice to disable unused services and modules.

How could I send CONNECT requests by myself for testing?

You can use curl:

curl --proxy "http://<YOURSERVER>" "http://<ANOTHERSERVER>"