At JTV we have a corporate proxy and I wanted to learn a bit about Ruby but ran into an issue where Ruby was not able to validate the self-signed corporate root cert.
Basically when Ruby is trying to connect via SSL to https://rubygems.org it is unable to validate the corporate self-signed certificate. To remedy this you need to get the certificate that is self-signed and add it to the trusted certs file for ruby. Once that is completed you will be able to carry on as usual with Ruby.
So to solve this issue within the JTV environment I had to add get the certificate CRT file, convert it to a PEM file, and add it to the C:/Ruby24-x64/ssl/cert.pem file.