Create a .py file with the following content:

from requests.utils import DEFAULT_CA_BUNDLE_PATH; print(DEFAULT_CA_BUNDLE_PATH)

Run the script in the context of Splunk:

[splunker@splunk splunk]$ splunk cmd python ca.py
/exp/splunk/lib/python2.7/site-packages/certifi/cacert.pem

Then add your certificate in base64-format to this file to let Splunk trust your SSL-inspecting proxy. Bear in mind that this file is write-protected, so you might need to chmod u+w /exp/splunk/lib/python2.7/site-packages/certifi/cacert.pem and then chmod u-w after changing the file.