By default, as soon as WiFi gets connected, the mobile network shuts down -- so you cannot use both simultaneously. Which means: no, even a proxy allowing for exceptions would not do, as the other network simply is no longer available.
Quoting from CyanogenMod Tracker:
Each time you activate WiFi you'll lose 3g connection. That's normal behaviour of Android network manager.
There were attempts on "hacking" that, as you can e.g. find here. This source from the Stanford university also makes clear on the standard behaviour:
- Given WiFI is connected, then turn on 3G data connection. 3G connection will be automatically torn down by Connectivity Service.
- Given 3G is connected, then turn on WiFi connection. Connectivity Service will tear down the existing 3G connection.
Except from "hacking attempts" as described by the Stanford example, I know of no solution to the issue.