No, you cannot do that. You can only create multiple Proxy Profiles for different Hosts/Networks.
The only solution we found, is installing a second Box, route the traffic on the first one using Multipathing or static routing and filter web traffic on the second one..
To have this thread completed, let me mention this should be possible by now.
See following KB: https://community.sophos.com/kb/en-us/126892