On RHEL and Centos, append proxy to following file
cat /etc/sysconfig/grafana-server
GRAFANA_USER=grafana
GRAFANA_GROUP=grafana
GRAFANA_HOME=/usr/share/grafana
LOG_DIR=/var/log/grafana
DATA_DIR=/var/lib/grafana
MAX_OPEN_FILES=10000
CONF_DIR=/etc/grafana
CONF_FILE=/etc/grafana/grafana.ini
RESTART_ON_UPGRADE=true
PLUGINS_DIR=/var/lib/grafana/plugins
PROVISIONING_CFG_DIR=/etc/grafana/provisioning
HTTPS_PROXY=xx.xx.xx.xx:8080
HTTP_PROXY=xx.xx.xx.xx:8080
NO_PROXY=localhost,127.0.0.1,192.168.1.3
Restart grafana
/etc/init.d/grafana-server restart
Restarting grafana-server (via systemctl): [ OK ]
Now you should able to use this proxy for data sources and notifications.