No you cannot do this.
See here to learn how to setup proxy in the script:
https://winscp.net/eng/docs/rawsettings

The password we use for a session must be changed every 90 days, so I need to password this into the script. The connection uses a proxy so I am using a stored session. There is no special characters in my password or username that would otherwise need to be encoded.

I have stored the session as WXYZ

When I use the command:

open username:password@sessionname

I get

Searching for host...
Host does not exist

Is it possible to use this format with a stored session?