I wonder if you can use a proxy with this, I would like to run this through MITM Proxy to see the requests made by different Android apps. Current I am using Android Studio or GenyMotion

If it works at all like WSL, you might want to look at wsl-vpnkit.

https://github.com/sakai135/wsl-vpnkit

It's not a proxy, but would give some idea how to shim into the middle.

Uses gvisor-tap-vsock underneath: https://github.com/containers/gvisor-tap-vsock