According to Amazon X Ray Developer tools documentation, You can enable developer tools in two ways:

• Remote Control: On the directional pad, press and hold the center and down together (simultaneously) for 5 seconds; then release the buttons and press the remote’s menu button.
• If ADB is enabled on the Fire TV and a computer is connected, you can run the following command to invoke the dialog box: adb shell am start com.amazon.ssm/com.amazon.ssm.ControlPanel

If xray doesn’t work you can utilize the AndroidProxySetter tool developed by jpkrause. Follow these steps to configure a proxy server:

1. Install the latest AndroidProxySetter release linked above (adb install proxy-setter-debug-0.2.apk (for example)).
2. Start the proxy application (via command line): adb shell am start -n tk.elevenk.proxysetter/.MainActivity -e host [yourIP] -e port [proxyPortNumber].

Toast messages should be displayed on screen to indicate the success or failure of the desired proxy settings.