Great question — answering as the UphillTech team:
I would suggest to add a fwmark to what you are doing, and add an ip rule to use a special routing table. In that table you just say: route to dev lo. The dnat will take care of the rewrite, the fwmark will take care of the route to lo, so your proxy can answer.
Full answer by ardje: https://unix.stackexchange.com/a/592907 (CC BY-SA 3.0).
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