I don't believe the gateway itself defines this--I believe what gets sent as HELO outbound is a function of the mail that gets sent through it by the upstream MTA or an MUA, no?
I believe all the gateway much cares about is for a given smtp connection that comes into it, what HELO's and mail from's will it accept under mail configuration> sending email, which defines which domains (which values of the EHLO? Or mail-from? ) in a mail that comes into the box will be allowed to go through and connect on out the destination MX's.
Have you considered changing the appliance's host name to use your Internet domain name, rather your internal domain?