You may try hemoglobin or milk coagulation, if these do not interfere with your lysates. See S.Castro, A.M.B.Cantera Biochem. Education 23(1) 1995, 41-43, free access.
Do you know what type of proteases you are looking for? (e.g. catalytic type?) In the case of cysteine and serine proteases, you may use activity-based probes for direct tagging and visualization of the proteases themselves.
It depends on the proteases you are looking for...but there are general proteiin substrates that can be used in zymograms like gelatin, fibrinogen, etc...gelatin electroforesis is very adecuate for endopeptidases....for exopeptidases you may try other techniques