How to check coming request is via proxy or not ?

In general, you can't. When a request gets to your HTTP server, the only information you have about the client is its IP address and whatever other information the client decides to send to you in the request headers. The best you can do is look up the IP address in some kind of database to see if it's a known proxy.

If you're looking for a specific proxy that you expect to pass particular information in request headers, that's something else entirely. But in general, I can send a Web request to you from my client and make it look like a proxy, or I could send a request from a proxy and make it look like it's coming directly from the client.