That's only if they're using an open-proxy, or a proxy that specifies it's a proxy. That won't work for anonymous proxies, or tools which tunnel connections, that aren't protocol-specific, such as SSH tunnelling, the use of a VPN, etc.
Using a 512kbps VPN from
Linkideo with Gunz, my ping went from about 50 to 150; and that's with a VPN in France, and on a low-end plan.
You can quite easily play ingame with a proxy of some sort, and using a VPN works across your entire system (e.g. Users won't be required to use flaky software such as SocksCap to tunnel their connection) - but,
who would care that much about evading a ban for a computer game?