Python Proxy Request Interceptor

I am working on a vulnerability scanner for my final thesis and i am trying to scan headers and intercept them in order to read their content type, sometimes i cannot intercept all the headers because of how the web page loads, so i am trying to understand how to create a python proxy to intercept and modify all the headers that i need to.

So my questions are:

How do i do this?

How do i intercept all the headers like the ones that are send after pressing a button?

How do i config my app to work along with this proxy interceptor?

Thanks!