Hi there,
Xrdp uses PAM to authenticate, so you can integrate it with Duo using pam_duo (please see the documentation on Duo Unix - Two-Factor Authentication for SSH with PAM Support for info on how to set this up). There is a limitation with xrdp that requires you to enable auto push. Since you specifically requested the Duo Prompt to display, this may not be the exact answer you were looking for. I suggest checking out this thread on GitHub for more details.
Perhaps someone who has successfully integrated xrdp and Duo can chime in with some tips.
