port proxies are on ports 30000-40000, these are the TCP endpoints. The UDP connections should be on the same port from the pi to the proxy server.
If your using P2P to connect, then the P2P client will try to use the same UDP port as the TCP port you specify for the localhost connection. But if your behind a NAT there is no telling what this port is to the real world.
It looks like your connection is being setup correctly, but your firewall is blocking the TCP outbound to the proxy server.
You could try a P2P connection, we do not know how your corporate firewall is setup, but we have seen many corporate firewall cases where p2p connections (based on UDP) work where TCP is heavily restricted. This may not be your case but you could give it a shot.