Ok, I can do it by calling MyProxyFactory.CreateProxy< T >() with reflection something like this:
Type myGenericParam1 = myParam1.GetType();
Type myGenericParam2 = myParam2.GetType();
Type myGenericInterfaceType = typeof(IMyInterface<,>);
Type myActualInterfaceType = myGenericInterfaceType.MakeGenericType(myGenericParam1, myGenericParam2);
var proxyObjectContainer = typeof(MyProxyFactory).GetMethod("CreateProxy", new Type[] { }).MakeGenericMethod(new[] { myActualInterfaceType }).Invoke(null, new object[] { });
var proxyObject = proxyObjectContainer.GetType().GetProperty("Proxy").GetValue(proxyObjectContainer, null);
Obviously if you need to pass parameters to the proxy factory constructor for setting up your interceptor then this also needs to be added into the line that creates the proxyObjectContainer.