No they haven't. A proxy war is what we have going on between the US and Russia in Ukraine. You instead have autonomous groups, largely affiliated primarily by religion (like Hezbollah), that receive support from Iran. It's more akin to the situation with Saudi Arabia where extremists of their flavor of Islam, including Al Qaeda, often find material and personnel support. For instance 15 of the 19 attackers from 9/11 were Saudi.

And I doubt you'd call Al Qaeda a 'Saudi proxy' or 9/11 a Saudi-US proxy war. It's nonsensical.