The ProxySG can be configured to bypass certain websites based on IP address. Domain name based bypass is not possible. (refer 000008477)
Also the ProxySG can be configured not to intercept any traffic that arise from certain client IP address.
In order to configure this - Go to Configuration > Service > Proxy Services > Static Bypass List and create a new rule as per the requirement.
Please note: The ProxySG has to be in transparent/inline mode to support this functionality.