Is it possible use Nessus behind a proxy like Burp or OWASP ZAP? I tried to configure it in Web Proxy Settings, but it didn't work. I need to see all request/response that are performed during the assesment.
The proxy functionality in nessus is for traffic such as plugin updates etc.
This is not a supported feature to use a proxy server for scan-traffic, but you can route web traffic transparently to your attack-proxy.
Take a look at How do you capture ALL the traffic from an Android app?
The same method should be possible here.