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Doesn't the new "Proxy Chaining" feature introduced in R82 do what you want? See Section 5 of sk110013: How to configure Check Point Security Gateway as HTTP/HTTPS Proxy:
Starting from the version R82, you can configure Proxy Chaining on Security Gateways to forward outbound IPv4 HTTP/HTTPS traffic to an upstream proxy server based on URL patterns.
This enables a Security Gateway to support multi-layered proxy architectures for compliance, monitoring, or traffic routing purposes.
You configure the applicable proxy settings and rules on the Security Gateway in the "$FWDIR/conf/upstream_proxy_policy.txt" file.
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