So for this configuration, I used Carl's article (https://www.carlstalhood.com/netscaler-gateway-12-pcoip-proxy/) and Duo Radius Configuration (https://duo.com/docs/radius).
When configuring the Duo Auth Proxy, use the Auto instead of iFrame. iFrame will give you the Duo auth page only via the web, but you will also not be able to see the apps after the login. The Horizon Client will not never show the iFrame.