Someone one reddit mentioned about how to set proxy for discord app on windows, you can check this out

Generally, there're some differences between the linux version and the windows version of discord app. The linux version doesn't need --a parameter to pass some arguments. You just pass --proxy-server to Discord executable.

Copy or modify your discord.desktop file in ~/.local/share/applications/ or somewhere else similar like this:

[Desktop Entry]
Comment=All-in-one voice and text chat for gamers that's free, secure, and works on both your desktop and phone.
GenericName=Internet Messenger
Exec=env http_proxy= https_proxy= /usr/bin/discord --proxy-server=""

Pay attention to Exec= line, that part of env http_proxy=... https_proxy=... passes down proxy settings to its updater. --proxy-server passes down proxy settings to the real app. You can use different types of proxy like http://..., socks5://....

I recommend not to modify the .desktop file under /usr/share/applications, or the settings made above would be lost after next update. Use the one under your home directory in stead. Enjoy!