You may try configuring proxy in the project settings. See details on proxy in documentation
https://docs.mendix.com/refguide/custom-settings#10-proxy-settings
Probably it will be something like adding additional JVM parameters to specify proxy host and port address like this
http.proxyHost=http://yourproxy.com
http.proxyPort=80
See the server settings in configuration tab of project settings.
https://docs.mendix.com/refguide/configuration
Also check this post on configuring Mendix proxy settings
http://www.robertprice.co.uk/robblog/using-a-proxy-server-from-the-mendix-modeller/