I don't now the correct command or bfgminer does not allow connection to stratum via proxy?
Maybe your PROXY doesn't support stratum?
I can do it with cgminer though and it's mining without any issues.
On the same machine and network, I can use CGMiner -> stratum.btcguild.com:3333 going through my proxy.
cgminer -o "http:proxy.com:8080|stratum.btcguild.com:3333" -u xxx -p 111