How to redirect Https CONNECT Request with Squid Explicit Proxy

Unfortunately this is not possible without bumping (decrypting) SSL connection first. The browsers by design deny any additional payload/redirection from failed CONNECT requests. For more formal description see - http://docs.diladele.com/faq/squid/cannot_connect_to_site_using_https.html.

If you do decide to perform SSL decryption then it is possible to first let the CONNECT request succeed and later block/redirect next HTTP request coming through this established connection tunnel - please take into account that if might not even be HTTP as some applications use CONNECT proxy tunneling for their own protocols (like Skype for example).

Also something to have in mind - if the application used "SSL pinning" technique while making CONNECT requests to proxy - it will refuse to work with decrypted connections.