Hey Joe -
Looks like no one addressed your question - You can drop a (reverse) proxy server between the internet and Tableau without too much trouble (just google "Tableau Reverse Proxy" and you should land on what you need)
What do you mean by "install RSA on the Proxy"? DO you want ot use an RSA SecureID server or something to do dual factor authentication? Your question isn't really clear in this regard.
If you are intersted in using RSA SecureID, we don't support it directly - however you can intergrate via Tableau's ability to leverage SAML.
Your SAML IdP can "talk" to a SecureID server instead of us.
Please give us a little bit more detail to go on? Thanks!