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It might be possible to do that with Java 7 as Java 7's keytool has an option to include a Subject Alternative Name (-ext) because dps cert admin commands use keytool under the hood. However, this would not be officially supported.
Some CA might also support adding SAN in the cert even if it was not explicitely present in the cert request.
My 2 cents
We decided to add the subject alternative names from the CA to the cert requests from the proxy.