Apparently people run TrueNAS in a VM on Proxmox and it works fine, it's even supported by both Proxmox and TrueNAS.
I've tested both - the virtualization in TrueNAS is rather limited, so I moved over to Proxmox - I need good VM and Container support, in addition to storage management. I'll probably go the TrueNAS on Proxmox route once I have real storage capability.