proxy question

My local prohibition of mining, so I want to disguise network behavior when executing xmring.exe, I use my own VPN to make xmring.exe forward to the mining pool through the proxy, which will be much safer, but it seems to be unsuccessful, No matter how I set it up, xmring always connects directly to the mining pool IP, rather than connecting to the mining pool through a proxy. Forcing proxy forwarding, the connection will fail. What is going on? Task, why doesn't xmring work?