Let me add another suggestion how to handle this - with already existing tools, without any need to implement something new. (It is probably not worth to create a separate question for this - I am posting this suggestion as an answer, we'll see from the voting and the comments what MO users and moderators think about it.)
It is already possible to show various warnings depending on body, title and tags of the post. As far as I can tell, the warning is triggered depending on presence of some specific strings and it is possible to use regular expressions.1 From what I have seen in meta discussions, such warnings can be added by Stack Exchange staff. The request to do so quite often come from the mods, more often than not after some discussion on meta.
Proposal. I think that it should not be difficult to create a regex to find out whether a post contains an url containing the string proxy. In such case, a warning should be shown (with a short explanation that such links could be a possible problem and suggesting to the poster to check the links).
Disadvantages. This will create some false positives - which is the reason why I do not suggest to blacklist such input, just to show a warning. Also some users will probably ignore the warning - in such cases we have to rely on the fact that somebody notices the post and corrects the link.
Advantages. It is probably easier to create a check which might return some false positives but which should definitely catch most of the problematic links. (I would definitely consider this better than creating a separate regular expression for each proxy - assuming the numbers in the CW answer are close to correct, then by creating a regular expression which in some way handles a specific proxy we would help with at most 5 posts. I don't think that this is worth the effort - MO would need for each specific proxy go through moderators and ask somebody from Stack Exchange to add it to the list.) Unless there is some way which would take care of many proxies at the same time - which seems unlikely to me - this seems to me much simpler solution than trying to implement some way to automatically rewrite such links, considering the number of posts where this is actually a problem.
1If I find some place where this is documented in detail, I can add it here. The best I can provide at the moment is the list on Mathematics Meta. As you can see, it contains also some regular expressions.