Metrilo CNAME and SSL

I am trying to setup metrilo.
Metrilo, among other DNS records requires this:
CNAME email.mydomain.com mailgun.org

Metrilo uses email.mydomain.com for the links in the newsletters I am sending via this service, in order to create statistics.

I am facing the following issue:
If I proxy this CNAME the links in the newsletter work, but Metrilo does not identify that I have created the CNAME record

If i dont proxy the CNAME, metrilo identifies the records, but clicking on a newsletter results in
" Your connection is not private" error in Chrome

My SSL/TLS encryption mode is Full.

What can i do?

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