It works pretty fine if i add below JVM parameters:

http.proxyHost=abcd.com

http.proxyPort=7625

But i want to apply these settings for a specific REST service not for all the services.

Awaiting some reply from the forum

Pega doesn't support local proxy settings that are applicable only for individual REST Connectors. Any proxy settings are global and is set at the JVM level which affects all Connectors. If you try to set from application code with the expectation that it will route the calls for only one individual Connector call through proxy but as the settings will take effect globally at the JVM level, it can impact all outgoing REST calls and request instead of going to configured host in endpoint url can get routed to the proxy host. Note that Pega Platform is designed for an environment where the proxy settings are set prior to node start-up and not subject to changes while the node is running. Therefore, Pega strongly recommends to remove any proxy settings that are being explicitly set from the application code and configure all such proxy settings as JVM parameters for a proper user experience and avoid any inconsistencies between the different Connector calls. There were some enhancements requests from users in past but I am not sure if they ever made to product in Pega 8 version. 

You may try to set the proxy to a value before making the Connector call from application code and then reset it back to existing value after your connector call. But this will still leave you with an window where any concurrent connector calls can fails. So, use this option judiciously.

Hope this clarifies your question.