I think you should be able to put it in your application.ex file. Something like the foilowing (which is just editing the generated application.ex for an application called ppp):

  def start(_type, _args) do
    children = [
      # Start the Telemetry supervisor
      PppWeb.Telemetry,
      # Start the Ecto repository
      Ppp.Repo,
      # Start the PubSub system
      {Phoenix.PubSub, name: Ppp.PubSub},
      # Start Finch
      {Finch, name: Ppp.Finch},
      # Start the Endpoint (http/https)
      PppWeb.Endpoint
      # Start a worker by calling: Ppp.Worker.start_link(arg)
      # {Ppp.Worker, arg}
    ]

    # Add these lines
    Application.start(:inets)
    :ok = :httpc.set_options([{:proxy, {{'http://proxy.com', 1234},[]}}])

    # See https://hexdocs.pm/elixir/Supervisor.html
    # for other strategies and supported options
    opts = [strategy: :one_for_one, name: Ppp.Supervisor]
    Supervisor.start_link(children, opts)
  end

I’m sure this is not the most sophisticated solution but it might be a path forward.

A couple of thoughts (not tested):

1. You can tell OTP not to start new_relic_agent automatically by configuring runtime: false. For example:

defp deps do
  [
    {:new_relic_agent, "~> 1.0", runtime: false}
  ]
end

Then you can start it up whenever you want. For example, using my previous code:

Application.start(:inets)
:ok = :httpc.set_options([{:proxy, {{'http://proxy.com', 1234},[]}}])
Application.start(:new_relic_agent)

I also see that you can configure :httpc_request_options so its possible that you could simply do the following (untested): Seems :proxy is not a valid http_option.