Create the directory for the database.

mkdir -p /var/lib/zabbix/
chown zabbix:zabbix /var/lib/zabbix/

Create the database and load the proxy schema.

sqlite3 /var/lib/zabbix/zabbix_proxy.db < <(zcat /usr/share/doc/zabbix-proxy-sqlite3/schema.sql.gz)
chown zabbix:zabbix /var/lib/zabbix/zabbix_proxy.db

Edit the proxy configuration.

vi /etc/zabbix/zabbix_proxy.conf

Set the path to the database.

DBName=/var/lib/zabbix/zabbix_proxy.db

Restart the proxy.

systemctl restart zabbix-proxy.service