You could still have the client use Apple as a proxy. This would reduce the privacy of the message but only the URL and only exposing it to specific service at Apple. If it is a SOCKS proxy, you could reduce the exposure to just the IP address and some amount of leakage to whatever DNS server the phone is using.
Which is the right way to do it and exactly how ever email client does. Do you want to see previews? Have the device make the request. Do you not want to see previews? The device shouldn't make those requests.
