For this you'll need to install the Android SDK, Docker and OpenSSL (which I found a binary from here).

Open the Emulator with a writable system image, making sure to pick an image using Noughet 8 (given newer images make it difficult to install a System CA).

.\emulator.exe -avd Pixel_3_XL_API_26 -writable-system

Download the APK from a site such as this, and then install the target App to the emulator.

.\adb.exe install -r "C:\Users\user\Downloads\target.apk"

Start the proxy in socks5 mode with web-host support.

docker run --rm -it -v C:\tmp\mitmproxy:/home/mitmproxy/.mitmproxy -p 8080:8080 -p 127.0.0.1:8081:8081 mitmproxy/mitmproxy mitmweb --mode socks5 --ssl-insecure --web-host 0.0.0.0

Prep the CA by setting it's name to be it's hash.

$hash = (openssl x509 -inform PEM -subject_hash_old -in "C:\tmp\mitmproxy\mitmproxy-ca-cert.cer" | Select -First 1)

Copy-Item "C:\tmp\mitmproxy\mitmproxy-ca-cert.cer" "C:\tmp\mitmproxy\$hash.0"

Install the CA into the system

.\adb.exe root
.\adb.exe remount
.\adb.exe push "C:\tmp\mitmproxy\$hash.0" /system/etc/security/cacerts

Download the SocksDroid APK from here, then use the following command to install it.

.\adb.exe install -r "C:\Users\user\Downloads\SocksDroid_v1.0.3_apkpure.com.apk"

Open SocksDroid in the Emulator and setup the details as follows:

Start the Application and view the results in 127.0.0.1:8081.