If your application needs to access a local proxy, you will need to use adb reverse.
To do so:
1. Connect your device to adb with gmsaas (See How to connect a Genymotion SaaS virtual device to adb?).
2. Set your local proxy to use TCP port 3000 (for example).
3. Configure the virtual device proxy using the web device interface, or with ADB: adb shell settings put global http_proxy localhost:3333.
4. Bind your local proxy to the device proxy configuration using the command: adb reverse tcp:3333 tcp:3000.
5. Make sure your app handles Proxy System Settings.
For more details, you can also refer to this article.