Unless they offer a way to accept certificates and use a proxy server. Neither are particularly uncommon, and something like Charles[1] makes this laughably easy.
Now on a closed device it can be very difficult to add root certificates to the store, but it's often possible.
For instance when the PS3 firmware was first cracked I took the opportunity to flash mine with a firmware I made that contained my root authority certificate. Then I wrote a python program to intercept and MITM all the traffic.
Result? I found out that on boot your PS3 tells Sony every game (or other thing) you run on the ps3, what times you run them and how long for.