Can't you set the system proxy to that specific proxy?
And then use Set-PowerCLIConfiguration with ProxyPolicy to set it to UseSystemPolicy.
To set the proxy you could try
And if credentials are required
$webclient=New-Object System.Net.WebClient
$creds=Get-Credential -Message "Enter proxy credentials"
$webclient.Proxy.Credentials=$creds
And to start using the proxy for the PowerCLI cmdlet
Set-PowerCLIConfiguration -ProxyPolicy UseSystemProxy