Okay, it's 5:45am... I'm halfway through my first cup of coffee and it just dawned on me what might be going on...
I'm willing to bet that you don't actually have the miniature of PROXY in hand and that your Father described it to you as "a little blue man in a plastic bag" or something like that. That would immediately lead me to think "PROXY" but I recalled something a few minutes ago that made things click into place.
On Sunday, during the final sealed event that I judged with Ray, someone dropped a bagged Crimson Nova Bounty Hunter miniature on the ground. I picked it up and went to each person playing in sealed to ask if any of them had dropped it. No one claimed it as theirs and no one expressed any desire to have it once I'd asked everyone about it and offered it up. I put it in my pocket with the intent to give it to Jim but we pretty much ran out of the Minis hall on Sunday to get our sweet ass-deal on that Legacy case (yay Boba Fett Mercenary Commander!) so I didn't get the chance.
The CNBH (aka Pussycat Doll) is "a little blue man in a plastic bag" to a person not knowledgeable about Star Wars Miniatures (and not observant enough to notice the cleavage). Couple that with your Dad finding the photo of Shawn and it explains, perfectly, why he asked you if Star Wars Miniatures was really some front for some sort of "gay transvestite" thing.