Hello,
Strictly speaking, this is not currently possible with ThinLinc. We do have a bug for this:
https://www.cendio.com/bugzilla/show_bug.cgi?id=4358
That said, see the thread on Jumphost support (but note that modifying ThinLinc’s SSH configuration is not officially supported at this time).
In general, any proxy configuration would need to be set up in advance and be transparent to ThinLinc. In your case it looks like this would require using the HOST_ALIASES parameter as discussed.
It would be interesting to hear more about your particular requirements as feedback for this feature.
Cheers!