As the SWG is an on-premise device, you would first have to route the web traffic from your mobile devices through the SWG in order for it to see (and therefore be able to filter) the requests.
This is normally accomplished by setting up a VPN on your mobile devices to connect them to your company network, then making sure the SWG is correctly positioned to see the web requests from the VPN clients.
As they are not regular Windows devices, you won't be able to apply authentication to them either, so policy assignment options would probably be restricted to IP range (it also puts a realy dampener on reporting too).
Perhaps a hosted/cloud-based web filtering solution would be more appropriate/easier for mobiles devices (i.e. MessageLabs/Symantec.Cloud)?