fonksiyon içinde global belirlemelisin

$proxyauth="12.34.56.78:3128";
//yada
$proxyauth='12.34.56.78:3128';

function siteye_baglan($site){

    global $proxyauth;

    $ch = curl_init();
    curl_setopt($ch,CURLOPT_URL,$site);
    curl_setopt($ch,CURLOPT_PROXY,$proxyauth);
    curl_setopt($ch,CURLOPT_RETURNTRANSFER,1);
    curl_setopt($ch,CURLOPT_USERAGENT,$_SERVER['HTTP_USER_AGENT']);
    $finaly = curl_exec($ch);
    curl_close($ch);
    
    return $finaly;
}