The Splunk plugin current supports configuring a proxy using JVM System Properties: https://github.com/jenkinsci/splunk-devops-plugin/blob/pom-1.10.1/splunk-devops/src/main/java/com/splunk/splunkjenkins/utils/SplunkLogService.java#L79.

Though since Jenkins has a globally configured HTTP Proxy functionality, it'd be great that the plugin supports it instead (or take precedence).