I think to have it work without tunneling, you would actually need to give the virtual desktops their own externally accessible IP.
PCoIP isn't going to work without a VPN either way, at least currently. There are products in the works to resolve this, though. If you're only going to use RDP, I'd imagine a hardware PCoIP client would be a very expensive choice given that you can get regular RDP-based thin clients for a fraction of the cost?
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