That's illegal then. But the pihole won't do the trick, you need to remove the mandated certs from your browsers certstore. If these certs are used for legitimate places (e.g. EU or state websites, and I'll bet they will) you then will get a certificate error.
Of course there is still HSTS, but that's not supported by all tech using TLS.
Which https proxy you're referring to? HTTP proxies capable of forwarding HTTPS just offer HTTP CONNECT method, which allows client to tunnel regular TCP connection and HTTPS inside it. These proxies do not do anything with certificates.
Of course there is still HSTS, but that's not supported by all tech using TLS.