Comment 1 for bug 1210796

There's no superficial reason why proxies can't work with web sockets unless WebKitGTK+ specifically uses a separate code path to connect. In general, ws(s) URLs go through HTTP(S) and thus use a proxy if there's one.
The main point of failure would be an implied proxy in your network that messes up your sockets.

This is a good article about it http://www.infoq.com/articles/Web-Sockets-Proxy-Servers

As far as Midori goes the real concern is that we have no easy test case that sets up a proxy, connects some socket and makes sure that it gets used. Same for prefetching, same for HTTP(s) in general.