We have similar requirements to support ZScaler ZIA product. The requirement is to forward the traffic from the branch to ZScaler for firewall and url filtering. Ideally Meraki MX products needs to support GRE and/or IP-Sec tunnels (not sure if they already do). https://help.zscaler.com/zia/about-generic-routing-encapsulation-gre SD-WAN products would need API integration with ZScaler https://www.zscaler.com/partners/technology/sd-wan I suppose there is Viptela from Cisco, but would be more cost effective approach to have Meraki SD-WAN integration.
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