BGB peering with a firewall inbetween bgb peers.

I'm wondering if there's a way I can pass BGB traffic/routes with a firewall sitting between the 2 BGB peers.

| myFirewall | --- | co-loFirewall | ---------- | Azure Direct Connect |

I'm in a co-lo, and the co-lo has a firewall that I cannot touch. I have a firewall myself that I route traffic through to my servers.

I also have an Azure account and would love to set up Direct Connect. However, Microsoft Azure Direct Connect requires bgb peering. And I doubt the co-lo will allow bgb routes on there firewall. Is there any way I can pass bgb traffic without having to touch the co-lo's firewall?