I managed to do it.
My machine has some disks which are presented to VM as physical disk. So I resized partition on one of those disks, then installed Debain on that free space. Debian knows about my LVM. After that I installed proxmox in Debian and add (create) one by one VM (had to create it with small disk in file system - /var/lib/vz/images) then add it's own lvm disk to conf.
So it can be done - if you have LVM disk(s) I think you can even migrate it to new machine.