I'm not that, but I don't think that the proxy server would create this effect. The proxy would normally use the URL to index into its cache (assuming that it has it enabled) and then forward the requested URL to the named server. I would be very surprised to find that the proxy was mashing the host name protion of the URL into another name!
Is the sub-domain a new addition to the higher level domain? If so, can I suggest that you check the configuration of the sub-domain to make sure that the address of the sub-domain's www isn't refering to the higher domains www server.