It's not possible. Proxies (in companies) are basically meant to funnel all outgoing traffic through, for several reasons (policy enforcing, content caching, monitoring, etc.). Mostly, outgoing requests are only allowed via HTTP, HTTPS and maybe FTP, and even that, only on specific ports.
VPN on the other hand uses a tunneled connection, much like SSH (or SFTP, for that matter). These also use a different port than the typical ones you find for HTTP (80) and HTTPS (443).
It won't work for various reasons:
- It's very likely that the company network you are in does not allow outgoing connections on any port other than predefined ones (i.e., 80, 443), or anything that is not requested via the proxy server
- Protocols other than HTTP(S) or FTP may be forbidden
- The proxy may just be a simple HTTP proxy, with no means of forwarding any other traffic (which is what a SOCKS proxy could do)
Your only option is to get an exception rule in the company firewall to allow an outgoing connection to your VPN endpoint, using a specific port.