With a gaming proxy, your traffic goes through another location before it gets to the game server, and that additional hop usually causes latency rather than eliminating it. A proxy is simply built for a different job if all you want is a lower ping.
The real tool to beat the ping is a GPN (Gamers Private Network), which is what the app was built for. It removes encryption in order to create a faster, more direct server path as a result, but unlike proxies, it doesn't hide your IP or unlock regions.
There is one situational exception. A proxy that travels a shorter route may outperform if there is truly an inefficient default route your ISP is taking to reach the game server. That would be the extreme case, not something to be relied on.
Server distance, routing, and your own line's configuration all play a part. One piece of peer-reviewed research on gaming latency found that even DSL line settings, specifically the interleaving mode a connection uses to correct errors, measurably affect latency, showing how much sits outside any proxy's control.