I hope this helps someone out there with a similar situation.
I wanted to configure TS Gateway so that it would work both interally(compliance reasons) and externally using rdp.example.com. We do not have a split DNS set up so this posed one challenge. Internally this was easy because we could just update the HOSTS file on the PC that needed access to TS Gateway with the local address of rdp.example.com.
ISA was bit more challenging. I followed the MS guide to setup TS Gateway. It did not work. I realized I had not updated the ISA server with the HOSTS entry (ISA also needs to resolve rdp.example.com to a local address). It still did not work. After reviewing the firewall logs, I determined that rdp.example.com was still not resolving to the local address. To correct this, I had to add rdp.example.com to the "Directly access these servers or domains:" area of the Internal network properties on the Web Broswer tab.