i have not done it personally but I did assist a good friend of mine with passing thru a USB Z-Wave controller on XCP-ng… assuming USB pass-thru in Proxmox wants to be agreeable it should be no problem. Remember that if you have more than one node running Proxmox you may have migration issues with the VM.
(I haven’t had any experience of zwave dongles yet, but have been told that the sonoff zigbee (attached directly to a pi3) has been very stable when used with some ikea power plugs/sensors and some aqara sensors)
An alternative approach (which I use) is to attach the sonoff dongle to a RPi running Ubuntu server and ser2net. I then have zigbee2mqtt on a XCP-ng VM configured to take this TCP input stream as it’s ‘adapter’.