Thesimplething

unfortunately in current standards i'd say it wouldnt due to sony letting only letting companies they approve able to develop applications and games as well as the concept of nintendo and pokemon there may be some copyright they may not sit well with however it may be possible in the future due to the way ps4 systems have been recently exploited to run linux but thats a whole different story

another suggestion would be to go through a third party system to use your proxy such as Proxifier personally i have not tried it myself but have heard good things

well unfortunately you may have to attempt to use a vpn depending on what your trying to accomplish with a proxy, i understand some internet connections have limitations to what they can connect to so i assume your trying to access it at school or something?

personally i prefer the default snipping tools on windows and os x has a nicely done shortcut command+shift+4

you should be able to just change your systems proxy settings through your internet configuration depends on which os your running on how you have to do this