With the implementation of LPS-96064, it is possible to use Data Providers when Liferay DXP 7.1 or 7.2 is setup to go through a proxy server.
The only caveat is Data Providers that require authentication will still not work. In such a case, no data will be retrieved and Liferay will silently throw a 403 error. This error can be seen in the logs if these classes are set to the following log levels:
com.liferay.dynamic.data.mapping.data.provider.internal.DDMDataProviderInvokerImpl - WARN com.liferay.dynamic.data.mapping.form.field.type.internal.DDMFormFieldOptionsFactoryImpl - DEBUG
In summary, if your Data Provider does not require authentication, it will work behind a proxy.