You could straight up connect to the destination (over TCP) from Cloudflare without needing relays; a project I wrote demonstrates TCP over HTTP (for Deno Deploy) and TCP over WebSockets (for Workers): https://github.com/serverless-proxy/serverless-proxy
Proxying projects utilising HTTP/TLS are popular in the anti-censorship community (discussion board: https://github.com/net4people/bbs) and there are many variants of it; ex:
- KCP (over UDP): https://github.com/xtaci/kcp-go