Well, since it is a high risk activity for one to use proxy to access Paypal and send payment, if you customer does it like this, chances are high that their Paypal accounts, and may even put a hold on the payment to you. But it's not a must.
Customers proxy usage for the payment will not be a problem for your account, It'll be a problem for that customer, but in case you use proxy to access paypal, it'll be a problem for you.