405 Error - Handling CONNECT requests with GCP Load Balancer

I'm rather new to networking so please go easy on me ;)

I'm having a problem getting a load balancer to forward connect requests to an instance group in GCP.

Overview:

I set up instances in an instance group which act as a proxy server. They're running and individually operational (using their own IP addresses, what I expect to happen works perfectly)

However when trying to use the instance group with a load balancer (have tried TCP, HTTP2, HTTP and Network group resources) I get a 405 "The method CONNECT is inappropriate for this URL" for all of them.

Is there something I'm missing? I configured the firewall to accept all traffic (yes, I know this is dumb), set up affinity to route Client IP traffic to a known VM to keep sockets open, etc.

Thanks!