It depends on what you are proxying to.
If you are proxying to an appliance on the LAN, then yes. You can setup the destination proxy server to the on-premises appliance's internal FQDN or IP. If it cannot be reached while you are off network, it won't redirect.
If you are proxying to SaaS from the LAN, then it's harder. You have to pick an IP address you can connect to on the internet, but you would block at your firewall to make it think you are on the LAN.
Set the setting to the MCP policy to check for 22.214.171.124.
If you are using ePO for MCP:
If you are using the SaaS console:
And on your firewall, block the destination of 126.96.36.199:80
When you on the LAN, MCP will Redirect:
When you are off the LAN, it will not redirect: