Eh… no. Typically there isn’t any proxies. Just a normal webserver, like Apache2 or Nginx, when it it serving virtual hosts and terminating SSL, is not a proxy server. Sure, it can act as one, but that is not typical solution and it has nothing to do with WordPress.
WordPress is not shipped with anykind server.
Installed WordPress can be sold together with webserver, PHP, sql etc. but it is totally different thing than it ”shipped with”.
Discourse is shipped with, though.
And yes, using proxy or what ever front of Discourse and serving WordPress on same server is quite trivial.