Hello,
proxy should only connect to the outside when filtering outgoing connections to specific ports which were originally initiated by other processes. It is in theory possible to use tools like wireshark to watch localhost (originating app-> proxy) and ethernet (proxy->target) interfaces and, by matching payload of tcp connections (with correlating time), to identify the originating application, however it may be tricky to do so. Currently there is no logging of such info AFAIK.