No, there isn’t any option in argparse to make mutually inclusive sets of options.
The simplest way to deal with this would be:
if args.prox and (args.lport is None or args.rport is None):
parser.error("--prox requires --lport and --rport.")
Actually there’s already an open PR with an enhancement proposal :
https://github.com/python/cpython/issues/55797