Well, a proxy server doesn't necessarily need to be a caching server, but a caching server needs to be a proxy server, if you get my meaning. I used to run MS Proxy Server 4.0 way back when on my old gateway, and it had a 1GB hard-drive. Not exactly oodles of space for cache, so all it did was proxy, no cache.
At any rate, to answer your question, yes, I'm sure that you could set it so that the proxy doesn't cache certain domains, or IPs, etc, but you would have to do this for every client that has a proxy server which connects to you. An easier way to go about it may be to add "No-Cache" HTML metatags to your site.
The two recommended are:
<META HTTP-EQUIV="PRAGMA" CONTENT="NO-CACHE">
<META HTTP-EQUIV="CACHE-CONTROL" CONTENT="NO-CACHE">
The first line is HTTP/1.0 compatible. This *should* prevent the caching servers from caching your site, but, there are settings in programs such as squid to ignore no-cache headers, and cache it anyway. Most people will not turn this on, only people on extremely bad links in remote places will often do that. (Or they just don't care about updated content).