Same, i also had a website and forum without a VPN down
It was the same with Claude 3.7 Sonnet, but when I switched to GPT-4o Mini, it worked.
File>Preferences>VS Code Settings >> in the search field for settings, type proxy and scroll down, there it will be.
I turned off HTTP 2 and it helped me. I already thought Russia was banned
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So it seems strange that some models are accessible i.e. Deepseek, Gemini etc but not Claude which suggests the error being displayed is wrong. I have successfully switched model and it works but unfortunatley I need to use Claude which is not working 
I think @QTom is correct and the failure is (at least for me) only happening when using the @web context which seems odd
same from China. Disable Http2 doesn’t work either