i have also thought about this "relay as proxy" idea as well, but the limitations of nip-42 auth make it difficult.
but if you added a HTTP proxy to orly, and configure your client apps to use the http proxy, then it can intercept requests to itself, ok, fine, but then your client can auth to remotes, and then orly takes over and can then publish to them with auth enabled.
this is a bit of a complicated, advanced feature. part of the reason why i haven't done it is because HTTP proxy auth methods are pretty weak and i wouldn't trust that on a remote server.
but it could be done.
extending nip-42 auth and nip-01 req/event methods could also fix this problem by enabling relays to issue an auth token that can be used in place of the regular auth flow, and then the relay can proxy these queries, cache the results and then forward them back to you.
there is multiple ways to solve this problem but the first version with http proxy interception is probably the most practical right now.