Why skype can not connect through squid proxy

You must tell squid that it is setup as a transparent system

Instead of

http_port 3128

You need

# enable the transparent option for interception caching
http_port 3128 transparent

You are not going to be able to achieve this unless you are using a transparent proxy - which you are not. With an explicitly configured proxy iptables would only be able to see the conversation between the the client host, and the squid proxy. That would make traffic manipulation impossible because iptables would have no idea what website/IP address you are trying to get to.

You can do it fairly easily the other way around with a transparent proxy however. That is to say have iptables redirect all www traffic to the proxy unless it meets certain criteria.

If using your proxy in transparent mode is an option for you then you can achieve your goal if you follow the guide below, but modify the prerouting stage in iptables to have exceptions just above the proxy redirect. Like so:

iptables -t nat -A PREROUTING -i eth0 -p tcp --dport 80 -s $PROXY_BYPASS_HOST -j RETURN
iptables -t nat -A PREROUTING -i eth0 -p tcp --dport 80 -j REDIRECT --to-port $SQUID-SERVER:$SQUID_PORT

SQUID/iptables transparent proxy howto