How can I get the arguments I sent to ThreadPoolExecutor when iterating through future results?

While submitting the task, you could create a mapping from future to its proxy.

with concurrent.futures.ThreadPoolExecutor(max_workers=5) as executor:
    future_proxy_mapping = {} 
    futures = []
    for proxy in proxies:
        future = executor.submit(is_proxy_alive, proxy)
        future_proxy_mapping[future] = proxy
        futures.append(future)
    
    for future in futures:
        proxy = future_proxy_mapping[future]
        print(proxy)
        print(future.result())

You have appended to futures in the same order that you read from proxies, so they are in the same order, so you can just zip them up.

with concurrent.futures.ThreadPoolExecutor(max_workers=5) as executor:
    futures = []
    for proxy in proxies:
        future = executor.submit(is_proxy_alive, proxy)
        futures.append(future)
    
    for future, proxy in zip(futures, proxies):
        # do whatever