Depending on the proxy  server lots of different things can be happening.

The way proxy servers work is that they forward packets from your
machine to the internet  and so on.

What is happening is that the server  is getting the right IP information
to talk to your computer. It might be getting the IP number of the
proxy server (because it is acting like a router and posting its own IP
number) ... heck it can be a lot of different reasons.

One idea that I am having is that your server is looking for a IP number
192.168.0.XXX, that won't work ... In theory your server should get the
IP of the machine acting as a router, and the router should remember
that all messages on a particular port number are in fact for your IP
number ... basicly.