Hmm, tricky question. I can think of two potential options, although can't quite see the path through one.
One option that will surely work is to use two different browsers. Safari uses the system-wide proxy settings in System Preferences -> Network, while Firefox (and some other browsers) use their own proxy server settings. Therefore one option would be to use Firefox for the proxied sites and Safari for everything else (or vice versa).
The other option that you might be able to get working would be a local proxy server running on your own machine. The proxy server would be configured to fetch certain sites from the existing proxy, while fetching all other sites directly from the server in question. Off hand I can't quite think how to get the access list configured, but I haven't finished my morning coffee yet... 🙂