I've votef for proxy on Eos chain and when want to claim proxy rewards I get this error: unable to find keys.
claimrewards action on the EOSIO contract is for active block producers to claim rewards and is not used for anything else. It's a system contract, where as these rewards proxies are not part of the native system and are user run. That's why you're receiving this error message.
For rewards from a proxy, they are either going to be automatic or based on that rewards proxy's specific smart contract. I'd probably recommend contacting the proxy directly and asking them about their rewards system.