IMAP accounts support "Use command to communicate with server" option (proxy command) in Account/Advanced. It would be nice+ to make NNTP and POP3 account support the option too.
If you want to use a proxy, the account preferences have a page for that.
I need proxy command for NNTP (like provided for IMAP) not proxy. Proxy command is a pretty handy hook for a few extensions. IMHO It should be relatively easy to "copy to NNTP accounts from IMAP accounts". I have assumed it is not implemented for NNTP because nobody wanted it.
in light of your comment, "IMHO It should be relatively easy", please submit a patch.