On the iPhone / iPad In setting - Wifi - Your Wifi - There is a HTTP PROXY section which you can change
I see no option for this on Apple TV is there anyway to add HTTP PROXY to Apple TV but via Windows 7
If you want to stream you have more options than an HTTP proxy. You can use a VPN or a DNS proxy. A VPN will have more bandwidth overhead because of the encryption, but if you have a very fast connection it should work fine.
Another option is a DNS proxy. This allows you to virtually change your location by using a different DNS server, while using your normal internet connection. If your Apple TV is behind a router, I would set both the Apple TV and the Router to use the DNS proxy.
It's why I use IronSocket for VPN, DNS, HTTP, SOCKS5 etc. because they are all included and its cheap. Here is the Apple TV setup page for your reference: https://ironsocket.com/setup/apple-tv