This depends on your proxy-configuration => transparent, transparent with SSL, authenticated.
If you are using a transparent proxy, you can define a firewall object and than define a host without proxy. So this host is completely unflitered. (my setup, the easy one )
Or you can define a profile for a specific host and a filter without any choosen category, just allow all.
If you are using authenticated proxy, you can define in the filter wether the global black list is applied or not and than apply the filter to a before defined host, host group, CDIR or…(firewallobjects)
So in general: 1st define the firewall object, 2nd define a filter, 3rd create a time (if diffrent from allways), 4th create a profile.
Please see also