The following solution worked. Thanks.

SET @SFTPString = 'open sftp://benchmarkuser:' + @Password + '@sftp.com -hostkey="ssh-dss 1024 79:77:44:33:55:3f:13:40:46:66:21:8f:7c:71:8e:02" -rawsettings ProxyMethod=3 ProxyHost=10.423.2.12 ProxyPort=4011 ProxyUsername="USER" ProxyPassword="PASS"'

Please read documentation:
https://winscp.net/eng/docs/rawsettings

If that does not help, come back.

I have this WinSCP connection info scripted in a SQL sproc that gets sent to a file for the WinSCP connection. I have an environment that requires the advanced settings Proxy account info to connect. How can I add the proxy info in the SQL scripting? Can it be passed in this string with connection info? Or is there a better way to accomplish this requirement?

SET @SFTPString = 'open sftp://USERNAME:' + @Password + '@sftp.SITE.com -hostkey="ssh-dss 1024 22:33:44:55:33:3f:13:40:46:66:21:8f:7c:71:8e:02"'