What an incredible coincidence! I was just playing with various Python-based http proxies the day before (which also relates to a recent question on this forum about running server apps in the background). I've found several several http (tcp/80) proxies that work ok with Pythonista:
https://evilzone.org/scripting-languages/%28python%29-proxy-server-19-lines-of-code!/
http://infomesh.net/2002/bproxy
http://python-proxy.googlecode.com/svn/trunk/PythonProxy.py
https://gist.github.com/voorloopnul/415cb75a3e4f766dc590#file-proxy-py
But haven't been able to get any SSL-based ones working either. The one I'm currently looking at is proxpy but I suspect it has a dependency on OpenSSL (either the lib or a binary) which clearly is not available in Pythonista. If you make any progress with mitmproxy (or any other) please update this thread -- I'm very interested in this as well.
Sidenote: One interesting discovery made while playing with the proxy servers -- iOS (8.3 anyway) uses this URL http://mesu.apple.com/assets/com_apple_MobileAsset_SoftwareUpdate/com_apple_MobileAsset_SoftwareUpdate.xml to check if any new OS updates are available. It's also interesting/depressing to see just how many apps on your device call home using various analytic frameworks...
Edit: Fixed bad markdown for URLs.