In case you want to execute your tests with a pre defined proxy, selenium offers arguments to pass to the driver which you can configure with them your custom proxy.
First, we will create a Job:
Now we shall Select Web, your desired browser, and the agent who shall execute the Tests.
Next, after we create the Job, we will drag all the tests we wish to execute inside the Job:
Now we will set the Custom Capabilities:
We will add the following to the capabilities:
And that is it, once we run the Job, this capabilities will be set, and the tests will run with the configured proxy.