Add proxy settings

[mrgharabaghi]

It is a good idea to add proxy settings to Discord desktop like Spotify.
For example in UAE, voice connections are banned and this feature can help us to proxy all of the connections to SOCKS5 proxy.

Spotify UI:

[cptpiepmatz]

I'd say this a feature request the desktop client and not for the api.
See for client features: https://support.discord.com/hc/en-us/articles/213490807-Where-can-I-submit-Feature-Requests-Feedback-and-Suggestions-