must be a sucky proxy server then that does it's own DNS if you can't override it with your own DNS entry in a HOSTS file.
I'd figure any proxy worth its cost should be nothing more than a go-between from point A to point B. They really shouldn't do a lot of self-analysis or thinking. Especially when it comes to DNS entries and telling it where you want it to go.
(Ideal Scenario)
You Say "I want to go to this address with this hostname.. do it!"
Proxy Says "

es sir/mistress!"
You Say "Good proxy server!"
(Your Scenario)
You Say "I want to go to this address with this hostname.. do it!"
Proxy Says "yeah right! st*u or go red! kthnxbye"
You Say "?#$%*&@!"