What makes you think the problem would be fixed by a proxy - what *exact* error message are you seeing? And what sort of proxy are you thinking of?
If it's an SMTP proxy then you just point alertmanager at it for sending mails. If it's a SOCKS5 proxy then that functionality is not built-in to alertmanager, so you'd have to run a standalone proxy that listens on a port on localhost and makes an outbound TCP connection via the proxy. (Maybe nc or socat could do that). If it's some other sort of proxy then you'd have to explain what you mean.
It might make more sense to put your alertmanager in a position in the network where it can make the necessary network connections it needs.