Actually, I think I can answer this. I'm pretty sure the answer is No, unfortunately.
PROC HTTP and FILENAME URL have syntax to accept proxy options, but the http() package in DS2 does not. By rights, it probably should, but it doesn't right now.
So the question becomes: can you use PROC HTTP to create a data stream that can then be fed into DS2 (probably as a data set, since DS2 can't read from external files directly).
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