Yes.
I created something similar months ago [*] but using Envoy Proxy [1], mkcert [2], my own Go (golang) server, and Little Snitch [3]. It works quite well. I was the first person to notice that Codex CLI now sends telemetry to ab.chatgpt.com and other curiosities like that, but I never bothered to open-source my implementation because I know that anyone genuinely interested could easily replicate it in an afternoon with their favourite Agent CLI.
[1] https://www.envoyproxy.io/
[2] https://github.com/FiloSottile/mkcert
[3] https://www.obdev.at/products/littlesnitch/
[*] In reality, I created this something like 6 years ago, before LLMs were popular, originally as a way to inspect all outgoing HTTP(s) traffic from all the apps installed in my macOS system. Then, a few months ago, when I started using Codex CLI, I made some modifications to inspect Agent CLI calls too.