Unable to pass traffic through firewall appliance instance

Issue

Cannot pass traffic through a third party virtual firewall. The virtual firewall is setup as an OpenStack instance.

• Can successfully ping the internet from the instance.
• The instance is setup as the gateway of the private network, and the gateway is pingable.
• When trying to get out to the internet from an instance on the private network, the traffic goes out the third party virtual firewall, but doesn't return to the private network instance.