I must have been thinking of their past implementations. Their FAQ says things were different:
Proxy routing was an interim routing solution which Session used at launch while we worked to implement onion requests. When proxy routing was in use, instead of connecting directly to an Oxen Service Node to send or receive messages, Session clients connected to a service node which then connects to a second service node on behalf of the Session client... The proxy routing system has now been replaced by onion requests.
It was even less clear to me because this is what it says in the app itself:
Session hides your IP by bouncing your messages through several Service Nodes in Session's decentralized network.