Your research looks pretty thorough.
On Windows,
most applications use WinINET, WinHTTP, System.NET, or Java's stack, all of which can have their proxy set in a variety of ways. Unfortunately, it looks like wxWidgets aims to be some sort of cross-platform toolkit, which usually means that the developer assumes a baseline (a socket) and implements
everything else on top of that. In some cases, that means the app doesn't support proxies at all, while in others it means that the developer of the app must expose proxy settings via custom configuration UI.
Most apps built like this do end up supporting proxies because it's difficult to sell or deploy to any sort of organization without proxy support. (Taking a quick look at the online docs for wxWidgets, I don't see ANY mention of HTTPS at all, so if there's HTTPS in use, maybe they're using wxWidgets only for the UI and using something like WinHTTP for networking).
So, supposing that the app really is
- using wxWidgets for networking, and
- doesn't have a config UI or a hidden environment setting, and
- the developer isn't willing to add one
...what can you do?
The best path partly depends on what you need. Do you need HTTPS, or just HTTP? Do you need to modify traffic, or only read? If, for instance, you only need to read HTTP traffic, you could just capture in WireShark and then export a PCAP to read in Fiddler. But if you need to modify HTTPS traffic, things get more dicey. In particular, to modify HTTPS traffic, you probably need to modify the list of trusted certificates in the application (as it may not adopt the system's trust store). That usually means finding some database file shipped with the app and modifying it to add Fiddler's root certificate.
Other than the HTTPS certificate trust issue, you might just run Fiddler on port 80 and 443, edit the HOSTS file so that whatever server the client is trying to talk to points at 127.0.0.1. Fiddler will capture the requests as if they were sent directly to it, and you can use scripting to forward the direct requests off to the original destination.
My previous reading leads me to believe you could probably hack a proxy chain together with MITMProxy, but I haven't ever tried this myself.