It seems that there is a workaround based on existing access to an unrestricted internet:
There is no extra setting, you must use the system proxy.
Try to workaround with this extension: https://chrome.google.com/webstore/detail/proxy-switcher-manager/onnfghpihccifgojkpnnncpagjcdbjod
Seems like a bit of a catch 22
Does anyone know how I can do this, or should I resign myself to not using Vivaldi in China when behind a proxy?
Maybe there is a proxy extension somewhere?