I wasn't able to create a data input using the Tenable Add-on for Splunk version 2.0.1 and was getting the below error. The proxy option wasn't selected in the account configuration by both GUI and .conf and I couldn't even add our proxy or it will error as well. I'm sure this a configuration issue on my end with it being blocked in some fashion at the proxy. However, to the point, I did have a proxy configured in my "/etc/environment" (echo $http_proxy). I am able to successfully create a data input after removing that from my environment variables and having no proxy configured in the add-on itself. Just wanted to share this with anyone else that may be having this same issue.
HTTPSConnectionPool(host='XXXXXXXXXX', port=443): Max retries exceeded with url: /rest/system (Caused by ProxyError('Cannot connect to proxy.', error('Tunnel connection failed: 403 Forbidden',)))