Hi,
Thank you for the post.
According to the description, I think your VPN client must not be using ISA as a web proxy. The behavior you describe happens for SNAT traffic that is transparently proxied through ISA. A solution would be to configure the VPN client as a web proxy client of ISA. Then the client will send a request to the ISA web proxy engine rather than making a direct web server connection which is then transparently proxied.
Regards,
Nick Gu - MSFT