blech, that problem sucks! if the proxy was a linux box you could just daisy chain the nrpe commands. you're going to have to configure the proxy to forward requests for port 5666, or if that's not possible, you might actually have to install a distributed nagios process on a box behind the proxy to do all that sites checks for you, then NSCA back to your central nagios box. not sure if that's a feasable option though.
other than that i'm not sure, i'd have ideas if it was a linux proxy box