Hi there Aurelien,
You’ll have to allow some URIs through your proxy, as well as have port 80 and 443 to be open to complete the installation. There may be more URIs and we’re looking to document all of them comprehensively, but definitely api.bitwarden.eu, identity.bitwarden.eu, push.bitwarden.eu
If you need a more step by step guide, our team has a video on self-hosted with a proxy here https://youtu.be/fSBnHWVC-Bk?feature=shared
Hope that helps!
Catt