You cannot use a proxy server with cellular data on your iPhone. Proxy settings can only be configured for Wi-Fi connections. This limitation means that while you can set up a proxy for any Wi-Fi network you connect to, there is no built-in option to configure a proxy for cellular data usage on iOS devices[1][2][4].
If you need to use a proxy for your mobile data, you might consider using a VPN service that can route your traffic through a proxy, but this would require third-party applications and is not a direct configuration through the iPhone settings[1][2].
Citations:[1] https://geonode.com/blog/how-to-use-proxies-with-iphone
[2] https://netnut.io/iphone-proxy/
[3] https://discussions.apple.com/thread/7957443
[4] https://thesocialproxy.com/2021/03/01/how-to-setup-proxy-server-usage-for-iphone-and-ipad/
[5] https://smartproxy.com/configuration/how-to-setup-proxy-for-iphone