Shameless copy direct from an old post at pg2e.blogspot.co.uk:
Transactional queues over HTTP from private networks
When sending messages to a transactional queue over http/s from a
server without a public ip address the ACK-messages may have a hard
time reaching their destination. This is due to the same cause as in
this post (Basically NATting causing a mismatch with the message destination address).
By default the receipts are sent to the sending computers name, which
of course will not work unless both parties resides on the same
network. To fix this you have to map the receipts to the public address
of the sender. This is done by creating an xml-file (of any name) in
C:\WINDOWS\system32\msmq\mapping with the following content.
<StreamReceiptSetup xmlns="msmq-streamreceipt-mapping.xml">
<setup>
<LogicalAddress>http://msmq.domain.com/*</LogicalAddress>
<StreamReceiptURL>http://[ADDRESS_TO_SENDER]/msmq/Private$/order_queue$</StreamReceiptURL>
</setup>
<default>http://xxx.xx.xxx.xx/msmq/Private$/order_queue$</default>
</StreamReceiptSetup>
Explanation: All messages sent to any queue at msmq.domain.com will
have their receipts sent to the given StreamReceiptURL. The
order_queue$ queue is used to handle transactional control messages.
I suspect later versions of MSMQ or NServiceBus handle creating this queue automatically without you having to create the XML file yourself.