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The corporate proxy is configured in such a way to prevent any security threats.
Having the 4G internet connection enabled at the same time is a threat, as it could potentially allow hackers to use the 4G connection to access the corporate network.
The only way around this would be to ask your corporate's IT department to allow the 4G connection to work at the same time as their proxy - this is something that they are highly unlikely to agree to, however.
Once the corporate proxy detects it, it will block it so there is no way around this without amending the corporate proxy policies, whether you need it for internet or not.