To get Duo working with Palo Alto Networks for GlobalProtect, you need to setup a RADIUS proxy for Duo.
A great document can be found here.
Setup a RADIUS server profile (type = PAP). Set the timeout to 30 seconds rather than 3 seconds to give users time to reach for their phones.
In the authentication profile, set the user domin to example rather than example.local. Set the username modifier to %USERINPUT%. You will probably have to set a user group as well under the advanced tab.
Use the RADIUS profile when setting up authentiation with GlobalProtect.
On each firewall doing GlobalProtect with Duo, you will need to run set authentication radius-vsa-on client-source-ip.
You will be able to use a username/password combination when logging in to GlobalProtect. The Duo app on you phone should then ask you to authorise the connection.