But for a proxy, maybe you would want an actual microprocessor instead of a microcontroller. Pi Zero W or similar.
https://github.com/martin-ger/esp32_nat_router
I recall that somebody found that the ESP8266 (no info about the ESP32) can talk directly to Ethernet devices, albeit it lacks a proper PHY with magnetics.
https://github.com/cnlohr/espthernet
It could be handy to avoid using the same WiFi subsystem both to connect to the WAN and to accept connections from all clients, which I believe has a huge performance impact.
Now what if we wanted to overcome the speed and number of users limitations by connecting two or more ESP boards in a magnetic-less way, either crossing tx and rx pairs in case of two chips, or using a switch chip such as the RTL8306 to connect more than two ESPs? I think it would be possible. More as an exercise though, since costs would raise to reach many already made products.
This one can run various flavors of Linux, of which I would suggest Armbian or DietPI.
https://www.friendlyarm.com/index.php?route=product/product&...
This one is more dedicated to networking, however it runs the proprietary RouterOS, although OpenWRT was ported with success.
these things will give you like 5KB/s in bandwidth, and that's after spending months figuring out how to get networking working on them. (I am assuming you have no embedded computing experience here)
In fact scratch that, none of these even have enough resources to handle TLS/SSL for one connection.