How can I prove this?
Prove that for any two positive integers $a,b$ there are two positive integers $x,y$ satisfying the following equation: $$\binom{x+y}{2}=ax+by$$
My idea was that $\binom{x+y}{2}=\dfrac{x+2y-1}{2}+\dfrac{y(y-1)}{2}$ and choose $x,y$, such that $2a=x+2y-1, 2b=y(y-1)$, but using this idea, $x,y$ won’t be always positive.

Case 1: $a=b$.
$${x+y \choose 2}=ax+ay$$
$$\frac{(x+y)(x+y-1)}{2}=a(x+y)$$
$$x+y-1=2a$$
$$x+y=2a+1$$
Basically, you can set $y=1$ and this gives $x=2a$.
Case 2: $a\gt b$
Introduce substitution:
$$x=u+v\tag{1}$$
$$y=u-v\tag{2}$$
So the equation:
$${x+y \choose 2}=ax+by$$
...now becomes:
$${2u \choose 2}=\frac{2u(2u-1)}{2}=a(u+v)+b(u-v)$$
You can now express v as a function of u:
$$v=\frac{u(2u-a-b-1)}{a-b}\tag{3}$$
Now replace (3) into (1) and (2) and the result is:
$$x={u(2u-2b-1) \over a-b}\tag{4}$$
$$y={u(2a+1-2u) \over a-b}\tag{5}$$
From (4), using condition that $x>0$ we have:
$$u>b+\frac12\tag{6}$$
From (5), usgin condition that $y>0$ we get:
$$u < a + \frac 12\tag{7}$$
If we limit the choice of parameter $u$ to natural numbers we have:
$$b+1\le u \le a\tag{8}$$
Is it possible to choose the value for $u$ so that expressions (4) and (5) produce positive integer values? Actually, it is! Available values for $u$ are in the set of $a-b$ consecutive integer numbers, from $b$ (exclusive) to $a$ (inclusive). Obviously, one of those numbers must be divisible by $a-b$. That value of $u$ will cancel the denominator in (4) and (5) thus generating integer values for $x$ and $y$!
Example: $a=5, b=2$. We have to pick the value for $u$ that is greater than 2, less or equal to 5 and divisible by 5-2=3. The only possible choice is $u=3$. From (4) and (5) we get: $x=1,y=5$. One can easily check that ${1+5 \choose 2}=5\times 1+2\times 5$.
Case 3: $a\lt b$
This is not a new case at all. You can always convert this type of problem into the following form:
$${y+x \choose 2}=by+ax$$
Now replace $x$ with $y$ and $y$ with $x$ and you'll get the case (2) that we already considered.
BTW, excellent problem, it's too bad that it did not get enough attention.