Computers being computers there are ways and means of doing anything and everything. However... I won't be elaborating on this because if you were to follow such a recommendation from here or anywhere it might cost you your job.
1. Server Administrators can log connections and data to and from their servers.
2. Connecting to proxies is illegal without the permission of the proxy owner.
3. By breaching a firewall in this way could render the gateway(s) liable to being hacked.
