Some applications publish SOCKS/HTTP proxy via unix domain socket. For example, TOR creates /run/tor/socks as a SOCKS proxy.
I think we should able to use PySocks like this:
import socks
s = socks.socksocket()
s.set_proxy(socks.SOCKS5, "/run/tor/socks") # using unix domain socket /run/tor/socks as proxy