How to use drush with proxy
Drush by default is using wget to download project (if available), otherwise curl. This can be change by --package-handler. You can check which package handler is in place by running your command with debug parameter (-d). 

So you configure proxy the same way as you would configure this for wget or curl.

For wget, you can configure these lines in ~/.wgetrc: 

use_proxy = on
https_proxy = http://proxy-host:8080
http_proxy = http://proxy-host:8080


Note: Please check /usr/local/etc/wgetrc for some examples.

For curl this line should in your ~/.curlrc:

proxy=http://username:password@proxy-host:port


For both I think you can try to export http_proxy/https_proxy as a system variable.