解决办法:
import urllib.request
proxy_support = urllib.request.ProxyHandler({"http" : "http://127.0.0.1:8080"})
opener = urllib.request.build_opener(proxy_support)
urllib.request.install_opener(opener)
url = "http://127.0.0.1/../../../../a"
f = urllib.request.urlopen(url)
print(f.read())