Hmm, a quick google suggests that tracert won't allow you to specify port or protocol - you are stuck with ICMP - I take it you are using windows? You could try telnet it allows you to specify the port.
Code:
telnet webcache.blueyonder.co.uk 8080
Trying 195.188.152.6...
Connected to webcache.blueyonder.co.uk (195.188.152.6).
Escape character is '^]'.
quit
Obviously using your own proxy and port number, just to see if it will connect - you won't be able to do anything if it does - type quit to exit.
Trying this on the above proxy and a random port just times out eventually so I doubt you will get any useful error message if it fails unfortunately, but you never know.