I think the question is too generic to answer it. Is there a feature which automatically blocks all outbound SSL VPN connections? No.
Is is theoretically possible to block outbound SSL VPN connections? Yes. It is required to find a criteria which MWG can use to apply rules, e.g. a specific destination that is called, a User-Agent header which contains a specific string, etc.
Most likely SSL Scanner will be able to break SSL VPNs since it does not allow protocols other than HTTP to go through MWG.