Port forwarding?
The PS3 needs to be able to use ports 3074,3478,3479,3658 & 5223 as a minimum to connect. If your proxy server either blocks these or doesn't translate the data so that the PS3's connection is redirected you won't be able to establish a connection.
Could be a local issue on your network though. How is the PS3 configured when connecting to the proxy - does it have a fixed IP address? Can it be seen on the Proxy machine?