Some more information:
I have no spaces in my path. This is the content of the generated file proxy-deploy.sh:
#!/usr/bin/env bash
docker rm -f sandbox-proxy 2>/dev/null
docker run --name sandbox-proxy --network=cda \
-v /E:/InstallationPackages/Hadoop/hdp265/assets/nginx.conf:/etc/nginx/nginx.conf \
-v /E:/InstallationPackages/Hadoop/hdp265/sandbox/proxy/conf.d:/etc/nginx/conf.d \
-v /E:/InstallationPackages/Hadoop/hdp265/sandbox/proxy/conf.stream.d:/etc/nginx/conf.stream.d \
-p 1080:1080 \
-p 4200:4200 \
-p 7777:7777 \
......
I am running docker 18.06.0