Correct me if I'm wrong, but doesn't the use of a proxy provide some anonymity? Sure, relays can see everything associated to an IP, but unless the client does something to identify itself (like signing an event, AUTH, etc...), it's just data in aggregate. Can't associate it to a specific npub.

They still need to see your query and will always know which events to send back. From those things, it's very easy to figure out which key you are using.