It is possible to connect on a different port, I used to connect on 3300. I was using SSH to tunnle 3306 form one server to 3300 on my desktop. However, I've not tried to use any type of proxy server between my client and the server.
Can you give more detail? Are you connecting to a server running on 80?
Are you trying to run over 80 to get through a firewall?
=C=