If a person bypasses the regular proxy

First, you need to tell us what sort of proxy solution you're running and what clients and on what Operatin Systems.Second, if a user is able to do that, there is something wrong with your perimeter security and you may need to change the internet access architecture. If youu post more details, I'll be happy to assist you further.
Regards,
Radu

In all cases that I know of, a properly configured firewall will not take requests from any other user or device except from the proxy server. So if a user would reconfigure their device to try to breach your security they would be blocked by the firewall.

If the firewall is not setup correctly, then tracking that use down would be like find a needle in a hay stack.

Good luck

You did not supply the details, but generically, as others have mentioned, if your setup is "right" this cannot happen.

Your firewall should be setup to accept outbound requests only from your proxy. Then to access the Internet your users MUST point to the proxy.

Your firewall should also provide some kind of reporting, likely through SYSLOG, of outbound connections it is managing. So look there.

What, you say you don't have a firewall outside of your proxy? Which means that you're using your proxy as your "inbound" or perimeter "firewall".

Not good. Proxy is a lousy firewall. I know lots of places work like this, but proxy (despite what the proxy manufacturers say) is not an effective firewall.

So buy a proper firewall.

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