How do I turn off a security web proxy on my iPhone? Alternatively, for a slightly more conversational tone:

Hey! Had the same issue last week. Turns out it was a VPN profile messing with my settings.
Go to Settings > General > VPN & Device Management and check if there’s a profile installed. If so, delete it!

After that, you should be able to turn off a security web proxy on your iPhone normally. Hope that helps!