I've ran into a number of problems using WordPress because it doesn't support proxies.
It breaks the dashboard and, I believe, outbound trackbacks and pings.
It should be possible to configure a proxy server using the administration interface. It isn't possible to fix this via a plugin, I had to modify class-snoopy.php and class-IXR.php to support my host's proxy. In the case of class-IXR.php, it had no built-in support for proxies at all.