Is it possible to mock objects across domains?

You are correct, the __TransparentProxy is in mscorlib, and it is not possible to mock.
We should actually support this scenario. I will add it as a feature to a future version of TypeMock.

Thanks for pointing out this scenario

You could in this case mock the IMyInterface, and thus isolate the remote object.

IMyInterface obj = RecorderManager.CreateMockedObject
   (typeof(IMyInterface)) as IMyInterface ;
using(RecordExpectations recorder = RecorderManager.StartRecording())
{
   obj.DoSomething();
} 

Thanks, that's a good idea.

I am trying this now, and I get the following exception:

TypeMock Verification: Unexpected Call to MockIMyInterface.DoSomething()

You will have to mock all the calls.
use

recorder.RepeatAlways()

and use the Tracer to check it.

I am getting a weird problem now. In my code prior to interface mocking (as you suggested) I have an innocent call that on return assigns a value to an object. Something like this:

SomeCustomType t = a.GetCustomObject();
IMyInterface obj = RecorderManager.CreateMockedObject(typeof(IMyInterface)) as IMyInterace;
using (RecordExpectations recorder = RecorderManager.StartRecording())
{
obj.DoSomething();
}

Then I get a TypeMock exception "unexpected call to DoSomething". But if I remove assignment to "t" in the first line and just call GetCustomObject as if it was void method, so first line looks like this:

a.GetCustomObject();

then the rest goes fine and I don't get TypeMock exception about unexpected call.

I wonder what can this be?

Well I understand why I had this weird problem with unexpected call. I was debugging the project and VS "Local" window was active. So .NET evaluated all local objects 'causing them to be mocked. Once I closed "Locals" window things went back to normal.