I don't have the answer for this TBH.
May be it's just a JAVA_OPTS thingy that you need to set. Like explained for our plugin manager: https://www.elastic.co/guide/en/elasticsearch/plugins/current/_other_command_line_parameters.html#_proxy_settings
JAVA_OPTS="-Dhttp.proxyHost=host_name -Dhttp.proxyPort=port_number -Dhttps.proxyHost=host_name -Dhttps.proxyPort=https_port_number"
But anyway, it's not recommended anymore to use the TransportClient as it will be deprecated then removed in the future.
You should switch to the HighLevel Rest client.
I hope this can help. May be @spinscale has other ideas regarding the proxy settings for Transport Client?