Hi,
Proxy know some UDP protocol, You can see as link KB below.
Link:https://support.symantec.com/content/unifiedweb/en_US/article.TECH243307.html
So, the proxy cannot control the other UDP protocol but the proxy can bypass the UDP protocol through the device.
You can set bypass as proxy-services but it's should byapss all of protocol at bypass port.
BR
Sakkarin Pichetskul