You can push SSL certificates through Apple Configurator 2. This will allow you to use a proxy for Supervised devices that are both on and off your network.
Set Up Global HTTP Proxy
First you will need to set up the Global HTTP Proxy.
1. Open Apple Configurator 2 and select File > New Profile (or use an existing profile.)
2. Navigate to Global HTTP Proxy. Click Configure.
3. Select the Manual Proxy Type and input your server address and port. Select the Allow bypassing proxy to access captive networks option.
Next, you will need to push certificates.
4. Navigate to Certificate and click Configure.
5. Navigate to the directory where you have the SSL Certificate saved, select the certificate, and click Open.
6. Exit out of the profile, give it a name, and Save it.