There are many ways through the same proxy will be blocked.. I am giving two reasons here..
First, (please specify Version of SQL)
If MS SQL (above 2005) there is a configuration step in server properties, there you can explicitly specify proxy account of SQL Server...(its username and password only) Using the Security mode with SQL Server with Windows Authentication.. The SQL Server will check credentials of the system which is sending request, and then will allow
Second, if there are firewalls(network firewall, not local).. you have to contact your network admin.. He will block all proxy with specified exceptions.
Blocking Individual user(IP) its a network security topic, it is not possible using SQL Server..
But new versions do support that facility also.. will be costly option if you upgrade.. :)