Could you try the latest build? It finally uses Guzzle for RSS spout.
Then you should be able to set proxy in https://github.com/SSilence/selfoss/blob/c83fbdfd6c5a3fe1e6a8c61f13aa16805d28d7cb/helpers/WebClient.php#L30 according to http://docs.guzzlephp.org/en/stable/request-options.html#proxy. Maybe we could even add a config key for this.