as far as there is package 'squid' the answer is yes.

But in this case, it is better to run knoppix from hdd.
when running from hdd, it is possible to install more software solutions as wwwoffle (proxy server suitable for offline browsing) or others.

commands

apt-get update
apt-cache search internet proxy

will give you list of packages related to given terms (in fact, knoppix on hdd is a debian system)