I also built this a year ago: https://github.com/coracle-social/multiplextr

Mine is gossip-compatible, but replies on a wrapper protocol supported by clients. I tried creating a smarter relay proxy like you're describing, but had a couple problems:

- If the relay goes off your relay list, you can end up with mutually recursive proxies spamming each other
- It's currently impossible to proxy auth. Which is a good thing, because you would really have to trust proxies.

Talking to nostr:nprofile1qy88wumn8ghj7mn0wvhxcmmv9uq35amnwvaz7tms09exzmtfvshxv6tpw34xze3wvdhk6tcpzdmhxue69uhhqatjwpkx2urpvuhx2ue0qqs04xzt6ldm9qhs0ctw0t58kf4z57umjzmjg6jywu0seadwtqqc75s7gh8sw  about this a while ago, he proposed that remote signers could double as proxies, reducing round trips and saving resources. I think that's a very promising approach. 

 yeah, I think there's something quite cool about it

for my proxy implementation I had modified damus to only connect to my relay (it kept insisting on trying to connect to more when configured to use just one)