Accessing Sharepoint through a proxy, using SAML claims-based auth

A bit more info on what I'm trying to do:

I am using a gateway as a reverse proxy that sits in between the SharePoint server, the sequence is something like this:

1)  User -> Reverse Proxy <-> Validate user credentials via some method (not AD)

2)              Reverse Proxy <-> Submits RST request to 3rd Party STS, returning a SAML token 

3)              Reverse Proxy <-> Forwards SAML token to SharePoint application configured for claims

4)  User <- Reverse Proxy returns content to user from SharePoint

Instead of returning the SharePoint content, SharePoint redirects me to screen to select how I want to sign-in.

So why would SharePoint do this?

Thanks,

Matt