How to HTTP-CONNECT with an URLRequest in Swift

Question

I want to establish a TCP tunnel through an HTTP(S) proxy with high level APIs, i.e. URLRequest provided by iOS/macOS SDKs in Swift with the HTTP CONNECT command. I have the following code, assuming the proxy runs on localhost:8080:

import Foundation

let session = URLSession(configuration: .default)
var request = URLRequest(url: URL(string: "http://localhost:8080")!)

request.httpMethod = "CONNECT"

let semaphore = DispatchSemaphore(value: 0)
let task = session.dataTask(with: request) {
    data, response, error in

    dump(error)

    semaphore.signal()
}
task.resume()
semaphore.wait()

Now the HTTP request constructed looks like:

CONNECT / HTTP/1.1
Host: localhost:8080
…

So my problem is: How do I set the request target, which currently is / to e.g. example.com:80. The expected request should look like:

CONNECT example.com:80 HTTP/1.1
Host: localhost:8080
…

To see the request, simply run:

nc -l 8080