@vitaly I've implemented NotificationHandler.Builder.withProxyHost(String) to allow you to set a proxy host for the websocket connection. You should provide the proxy host as a URI, e.g. https://myproxy.com:443. This is available in version 24.0.0.
However, I wasn't able to successfully test this as I couldn't get my hands on a proxy that supported websocket connections. If you run into issues, be sure to implement the WebSocketListener interface and provide an instance of your class to the withWebSocketListener(WebSocketListener) builder method. If you know of any public websocket proxy servers, let me know and I'll give it a try.