Unfortunately the Duo Authentication Proxy doesn't support the type of RADIUS authentication requests sent by RD Gateway's NPS.
You could install Duo Authentication for Windows Logon on the target computers. In this scenario RDG authentication uses a single factor, and then the Duo MFA prompt is seen when logging on to the remote computer.
Another option might be to publish RDG using TMG, and then add Duo RADIUS authentication to TMG (https://duo.com/docs/tmg) instead of at the RD Gateway.
We're aware of the issues that come with disabling RDG CAPs and RAPs and plan to address this in a future release of our RD Gateway plugin. Please reach out to Duo Support to add your contact information to the feature request.