In Blender the common workflow is to create a new bone in edit mode, set it as child of an appropriate bone (maybe the head bone, select the new bone, shift select the head bone, Ctrl P - keep offset), move it where you want (better aligned with world coordinates), put it into a convenient bone layer, then use its local transforms to drive the shape keys.
In pose mode you can select the new bone, uncheck its deform option and assign any mesh to change its appearance in the rig.
In this way everything will be proxyed as expected.
For better management I suggest you to put everything you need for a character (objects and rig) into a collection and link the whole collection into the sequence file.