Yes you can. The config file is /etc/lynx.cfg
The entries you want start on line 1502, about 50% of the way through the file. It has entries there already like
#http_proxy:http://some.server.dom: port/
#https_proxy:http://some.server.dom: port/
#ftp_proxy:http://some.server.dom: port/
...
Change those to match your proxy and you are away.
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