Create and use a PyPi proxy repository on nexus

Running Nexus 3 OSS 3.6.0-02 I have created a pypi proxy repository on nexus using this guide:

https://help.sonatype.com/repomanager3/pypi-repositories

With the following info:

Format: pypi
Type: proxy
URL: https://mynexus:9666/nexus/pypi-proxy/
Remote Storage:https://pypi.org/
Authentication: Username/Password

Now I would like to install a package and use the above proxy. Based on:

How to get pip to work behind a proxy server

and this example:

pip install --proxy http://user:password@proxyserver:port <package>   

I have tried:

pip install --proxy https://myuser:mypassword@mynexus:9666/nexus/pypi-proxy/ testinfra --no-cache-dir

But I get:

Collecting testinfra
  Retrying (Retry(total=4, connect=None, read=None, redirect=None, status=None)) after connection broken by 'ProxyError('Cannot connect to proxy.', error('Invalid response from tunnel request',))': /simple/testinfra/

Is there and error in my command line? Or something I need to configure on the server/repository?

Just add /simple at the end of index URL

pip install --index-url https://myuser:mypassword@mynexus:9666/nexus/pypi-proxy/simple/