Do you mind clarifying a little bit about what you mean by "proxy turned on" locally before you publish to Connect? How does the proxy work? Do you set the HTTP_PROXY or HTTPS_PROXY environment variable to the proxy path? (I've never heard of those used for a database connection before... but it seems possible)
If you can share a bit more about what it takes to enable database connections to take advantage of the proxy through R locally, that should help us determine what needs to be done to enable such a connection on Connect.