Um not really? They claim that they detected it because of the high ping, that's a network infra and speed of light limitation. All a proxy would have done was make the ping worse.
They tracked down the corporate issued laptop to Arizona where it was allegedly being remotely controlled. From there the article doesn't say how they identified it as North Korean, maybe it was coming from a North Korean IP or maybe it wasn't but they already have a group setup to find North Korean remote workers so that's what they decided it was.
Amazon’s success can be almost entirely credited to the fact that it is actively looking for DPRK impostors, warns its Chief Security Officer. “If we hadn’t been looking for the DPRK workers,”
Whoever it was, was already busted when it was tracked to Arizona so again a proxy wouldn't have avoided detection