This applies also to other proxies (varnish, nginx, ...), you have to correct the path in the phpmyadmin
config.inc.php which lies normally in the phpmyadmin directory or in case you installed via aptitude on ubuntu (precise and higher) in
Fix it by adding this line to
$cfg['PmaAbsoluteUri'] = 'http://www.example.com/pma/';
Note that you also specify the directory where phpmyadmin lies in.
www.example.com is the hostname as seen from the outside, the one you use to finally access phpmyadmin.