I don't fully uderstand the part on the middle of the scheme with those nostr relays, does that mean that each traffic/packet coming from the proxy is "encapsulated" into nostr events that are then read by NWS exit nodes?

So basically we have HTTPS traffic into nostr events and then back to HTTPS traffic again? 

 Yes, but it’s on TCP level so any (encrypted) protocol could run over it, not just HTTPS.