There is a client who wants to send a datagram to the server , but he is a proxy , that's the problem.
Of course, there is a proxy with Socks4,5 (but, as far as I know, these are special cases) the connection is interested in the http proxy.
UPD: In the case of Tcp, everything is quite simple: when connecting to a proxy, we specify CONNECT> Host: ... in the request and work with the proxy> GET> Host: ...,
But how to connect to a server running over UDP?