A proxy variable linked to multiple object is absolutely possible, it’s actually a core feature. There are two special types of proxy variables, “proxy array” and “proxy hub”, that are specifically designed for indexed one-to-many accesses.
Adding the multi proxy is easy - instead of selecting one object and adding a proxy on its property, select multiple objects as events or elements (have to be of the same type). The multiple selection is done with pressed Shift key. Just above the property panel you can find the current selection list (normally this list contains only one currently selected object). If you need to select objects in different event, pin them (orange marker next to selected item) in the list before leaving the current event. Once multiple objects are in the list, select the target property and press the plus button- the program offers a choice of “array” or “hub” proxy. Later you can change the linked objects for particular “multi” proxy in the Proxy panel (remove objects, sort and add new one by drag and drop)
This wiki article covers slightly more details on the proxy variables: http://wiki.okazolab.com/Proxy%20Variables.ashx