ALAN CAVERO Thanks for posting your question in Microsoft Q&A. If your Azure Function is in Premium, Dedicated or App Service plans, then using Regional Virtual Integration feature, you can force all outbound traffic to be sent into your proxy using Route tables (UDRs) or block using Network Security Groups (NSGs). The consumption plan doesn't support this feature and please review the limitations described in the doc when using this feature.
If you are looking to add a proxy in your SDK code for ServiceClient similar to CrmServiceClient.OrganizationWebProxyClient Property, then I don't see this is supported based on the SDK doc. However, this question is best answered by PowerApps experts, and I see you have already posted this question in Outgoing connection via proxy thread in the PowerApps Community. They can assist you further on that.
Note: PowerApps is not supported in Microsoft Q&A and here are the supported products lists.
I hope this helps and if you have any questions on Azure Functions, feel free to reach out.
If you found the answer to your question helpful, please take a moment to mark it as
Yes for others to benefit from your experience. Or simply add a comment tagging me and would be happy to answer your questions.