Hi @seymourp,
Unfortunately, this isn't possible yet. As of now, users must connect directly to the linked site to be able to preview it, and there's no logic to do it through a proxy. It does sound like it would be really useful though.
This feature isn't on our roadmap yet, but we are hoping to revisit and improve our link previews in the future. If you want, you can post a feature request so that other users can vote on it, and we can get a better sense of how to prioritize it.