So you rooted GrapheneOS to install it? I suppose that is needed to grant all the privileged antenna access, but it drastically reduced the security too.
If possible, try to only use it in a seperate user profile, but I have the feeling they will be too restricted.
Resolving a proxy may mean a DNS or internet connectivity problem. Afaik Kali Nethunter uses Termux (rootless or rooted like yours) and its systemd-resolved may have no DNS server associated. From Termux (or however you set that up) try to ping 8.8.8.8 to confirm internet is working.
In /etc/systemd/resolved.conf
set a DNS Server. Enable DOT and DNSSEC