Samir,
Yes - SWG can install with a Bluecoat (or with any other proxy, for that matter).
It can actually install either before the proxy (between proxy and end users) or after the proxy (between proxy and firewall/internet), but we highly recommend that it is installed between the proxy and end users so SWG can see the source IP of the end user and/or authenticate that user's AD credentials.
There are details on this in the SWG Implementation Guide.
SI