The following information is for the WhatsApp application and not the website version of WhatsApp. The website version should work with a proxy that is using SSL interception.
The WhatsApp application was not designed to work with a proxy. For more information on why the application does not work with a proxy, view the following WhatsApp FAQ article:
WhatsApp changed to use end-to-end encryption and the ProxySG appliance does not support the end-to-end encryption because WhatsApp does not run on standard SSL traffic.
Please refer to the WhatsApp Security article which describes on security it used and as well on how the end-to-end encryption method works.
Although phones can be configured explicitly to use a proxy, WhatsApp does not use these settings and should be considered a transparent application only. Since that's the case, your only choice is to use Transparent Proxy to bypass WhatsApp traffic or configure the proxy to tunnel protocol errors.