I am aware of customers who have routed email from cloud service providers (Google, Office 365) back into an on premise MTA, to DLP for inspection, then back to an MTA for outbound delivery, and out to the web. The exact architecture and configuration depends on a lot of factors, mainly what components are in play.
At a high-level, this is what the flow has looked like using Google and Symantec Messaging Gateway (SMG):
User (sends mail) --> Google Mail --> | SMG --> DLP --> SMG | --> Web or Post-processing (Message Labs, Postini)
*** The " I " (pipe) being the edge of the corporate network.
The upshot --- what you are talking about is possible and has been done before.