For a native application, the proxy mode recording may not work. Actually it depends on your application if it expects to use an HTTP proxy or not. If not then you have to use the tunnel mode recording.

But first, i would suggest you to confirm that your setup is correct. After setting the proxy in your mobile device, start your mobile browser and try to record any HTTP web site with NeoLoad.

If it works you should also try with an HTTPS application. If your setup is working but not with your native application then i would suggest you to try the tunnel mode.

Please refer to the NeoLoad documentation to setup your environment.

Also, make sure that your native application is really using HTTP protocol to connect to your server otherwise NeoLoad will not be able to record anything and in that case it will be a normal behavior.