To make long stories short:
Set up a VM as a router
Forward your wifi-nic to that VM (either USB or PCI, it's possible in both cases)
Use this VM to connect to your WLAN...
-> within Proxmox, assign the VM IP as Gateway (and DNS)
Sounds a little wiered, but Wifi-NIC's usually don't support features needed for proper virtualization.
Because most of them don't have a monitor- (promiscous) mode.
That's why you will come in trouble while using Wifi on Host as a NIC for your guests.