Moved to MWG for faster support
MWG has next hop proxy events which can be setup in the rules to forward traffic. The rule might look like something below.
If you're using a cloud proxy, I would wonder how they are authenticating as that might be an issue if they require more complex methods. If they're simply identifying you based on your public IP, then you shouldnt have any issues forwarding traffic.
Thanks for the info. I'll follow-up with my team and let you know how it goes.