Hi,
you can have a look at this:
https://duo.com/docs/checkpoint
Basically you will need to use a RADIUS as proxy towards DUO.
For me, I installed and am using it with an ASA SSL VPN. That works like a charm, but needed some manipulation of the portal site for having checked the requesting client (recent browser version, OS, and so). I don´t know if this is possible with Check Point VPN. I Assume, here you can use DUO as plain 2FA provider. Enrollment was Easy too. QR Code to scan with mobile phone click, click, done.
They also provide Trial Access if you want to test it before buying.
Hope that helps a bit
Daniel