What you’d normally do with Nexus Repository in this case is to set up a Raw proxy repository, pointing to https://install.stackrox.io/. Then instead of downloading directly from stackrox.io, you’d point your clients at your repository instance.
Nexus Repository doesn’t pre-emptively pull down files from the remote URLs that it proxies, but it does check to see if there’s a newer version when clients attempt to pull the file through it. (The cache time between checks is configurable.)