From what I understand these two phrases are parts of two separate ways of categorizing stimuli if that makes sense...
Proximal stimulus is the actual neural activity happening in your brain (as opposed to distal stimulus, which is how this neural activity is perceived by us in real time).
A sensory stimulus is anything that elicits a sensory reaction like heat, smell etc. (as opposed to other types of stimuli like caffeine giving you more energy or something like that)