How to connect to vpn, proxy?

Question

proxy

I use Connectify Hotspot 2018 to distribute the Internet to other devices via wifi.
Connectify can distribute either the regular Internet to which it is connected, or vpn.
The proxy does not distribute directly. And changing the settings of the regular Internet to a proxy does not help, it is replaced only on my machine, and the ip remains the same on the connected device.
I came to the conclusion that I need to dig towards vpn, are there any methods to put a proxy on vpn? So that the final ip on the connected device via wifi is proxied.
Thank you.