The general recommendation is to use ssh sftp-tunnel, this can be done from the command line or with a program like WinSCP/Cyberduck
ssh/config
Host sftp-tunnel
HostName hf-login.uio.no
ProxyJump login.uio.no
LocalForward 25565 localhost:22
ControlMaster auto
ControlPath ~/.ssh/%r@%h:%p
Localhost port 25565:
sftp sftp://localhost:25565
You can also use: -P 25565 or -oPort=25565 with ssh-option