Посоветуйте FTP клиент с работой через прокси

FileZilla

Krusader может.

https://krusader.org/

Настройка из меню.

Why do I have trouble with my FTP connection?

This problem often occurs when you are behind a firewall or proxy. Open System Settings → Network → Settings → Connection Preferences, Enable Passive Mode (PASV) has to be turned on or off, depending on its current setting. Now try your FTP session again to see if it works. Also, make sure you have no other FTP sessions open (using web browsers, etc.), they can cause complications. More information can be found in Active FTP vs. Passive FTP, a Definitive Explanation.

https://docs.kde.org/trunk5/en/extragear-utils/krusader/faq_usage.html