Can you enclose the error as a code snippet and share the full stack trace? That way, we will have more information to help you. 
As I understand, the jll packages may download blobs from any place on the internet. I don’t remember if package servers also cache the blobs, or maybe the BinaryBuilder generated blobs are served from outside the package server. Any of both may cause your proxy to block the request. But without further information is hard to help.