Batch file on Desktop:

%UserProfile%\Desktop\Signal.bat

@echo off
set HTTP_PROXY=http://<proxy>:<port>/
set HTTPS_PROXY=http://<proxy>:<port>/
start %LOCALAPPDATA%\Programs\signal-desktop\Signal.exe

Shortcut on Desktop with destination: C:\Windows\System32\cmd.exe /c "%UserProfile%\Desktop\Signal.bat"

/usr/share/applications/signal-desktop.desktop

[Desktop Entry]
Name=Signal
Comment=Private messaging from your desktop
Exec="/opt/Signal/signal-desktop.sh" %U
Terminal=false
Type=Application
Icon=signal-desktop
StartupWMClass=Signal
Categories=Network;
desktop entry 

/opt/Signal/signal-desktop.sh

#!/bin/sh
 
export http_proxy=http://<proxy>:<port>
export https_proxy=http://<proxy>:<port>
/opt/Signal/signal-desktop

/usr/share/applications/signal-desktop-profile_name.desktop

[Desktop Entry]
Type=Application
Name=Signal Priv
Comment=Signal - Private Messenger
Comment[de]=Signal - Sicherer Messenger
Icon=signal-desktop
Exec=signal-desktop --user-data-dir=/home/[[your user]]/.config/[[SomeProfileFolder]] %u
Terminal=false
Categories=Network;InstantMessaging;
StartupWMClass=Signal
MimeType=x-scheme-handler/sgnl;x-scheme-handler/signalcaptcha;
Keywords=sgnl;chat;im;messaging;messenger;sms;security;privat;
X-GNOME-UsesNotifications=true

Create shortcut, set following target: C:\Users\SomeUserName\AppData\Local\Programs\signal-desktop\Signal.exe -user-data-dir=C:\Users\SomeUserName\SomeProfileFolder