Just to make things clear, if you run a supervised version (add-ons, supervisor tab, etc. available) then you are running in docker anyway. The only option that doesn’t run in docker is installing Home Assistant Core in a virtual environment.
I use Proxmox as well, with multiple Home Assistant VMs. One VM (production) runs Ubuntu and Home Assistant Core in docker on top (no add-ons, etc., called Home Assistant Container now). The second VM (“development”) runs Ubuntu as well and Home Assistant Core is directly installed in a virtual environment. The third VM (testing) runs Ubuntu and Home Assistant Supervised with add-ons etc. available on top (the not officially supported install on a generic linux machine).
From your post, I assume it would be the best for you to install Ubuntu Server in a Proxmox VM and then install Home Assistamt Supervised on top (the not officialy supported install method). I suggest this guide