Okay Cool, I have to confess it is something I keep meaning to lab up however other work keeps taking priority as I haven’t had a customer with this requirement yet. There is an extra jump in this chain that needs to be accounted for, you need to configure some local NPS servers to relay the requests to Azure. I did see somewhere this wasn’t required any more but I have only ever seen it mentioned once and I don’t have the source anymore. The best advice I can give you is break it down into three chunks and test each chunk before going to the next one (one for each of the authentication steps).
Firstly: you need to configure a Windows NPS server (I recommend two if this is a production setup) to run the Azure NPS extension. This guide looks like it covers most of the process off (just ignore the ASA stuff) http://cloudexchangers.com/configuring-azure-mfa-for-cisco-vpn-using-the-nps-server/
Secondly: You then need to configure these NPS servers in Cisco ISE as an external RADIUS server. You also need to configure the Check Points just like any other RADIUS network device (ie switches, wireless LAN controllers etc). Once this is done you need to create a policy basically saying if the Check Point is sending a request relay it to the NPS servers (to start off with keep the policy dead simple but there is nothing stopping you throwing in other ISE magic later on should you wish).
Thirdly: You need to configure the Cisco ISE appliances as RADIUS serves in the Check Point Smart Console. Start by configuring a group and then add each of your PSNs. Unless you have the RADIUS service of the PSNs in front of a load balancer, in this case just create a RADIUS server not a group. You should then be able to create an additional authentication sequence for RADIUS (there should be a tick box in the RADIUS settings saying something like “this is MFA ask for a password as well”).
The one closing comment I would make is this is a bit of a long-winded way of MFA’ing the user and there might be some timeout issues somewhere along the lines. Make sure adding ISE into the picture is going to give you some tangible benefits.