You wish to configure Two Factor Authentication (2FA) or Multi Factor Authentication (MFA) for user access to the GUI console
EdgeSWG / ProxySG does not support 2FA directly However, You can configure the ProxySG with any of the currently supported authentication method & have that particular authentication method incorporate MFA. E.G. If you setup Radius authentication with ProxySG. The Radius server will have to configured to support 2FA. The Proxy will see it as a regular radius authentication; However, the 2nd authentication will happen at the Radius backend.
Please note that the 2FA configuration will be on the Radius end. It depends on the Radius / AD / LDAP etc.. server to support it.