I have an irssi session running in my VPS. I connect to it via irssi-proxy using Xchat on my laptop or Andchat on my Android phone. Is there any way I can make it send all messages containing my nick since my last proxy connection to my client when I connect?
This won't send to your client, but you could look at using fnotify, a perl script that saves all your nick highlights to a file.
You could then retrieve the file when you reconnect to see if you were highlighted while you weren't connected.
Or, depending what else you are running on that box, engineer another solution like having the tail of the file mailed at periodic intervals.