I finally managed to solve the issue.
I had to import the certificate for the proxy into the JRE of Katalon.
Required steps:
- export the proxy certificate from browser to a local directory
- import the certificate into the keystore of the jre
keytool -import -trustcacerts -keystore \Path\To\Katalon_Studio_Windows_64-6.1.5\jre\lib\security\cacerts -storepass changeit -alias MyProxy -import -file \Path\To\MyProxy.cer