Looks like this is currently not possible in Mapproxy - https://github.com/mapproxy/mapproxy/issues/206. The referenced issue's thread mentions that the need for subdomains is typically used as a workaround for browser limitations (Max parallel HTTP connections in a browser?), but i am not sure why this is a good reason for not supporting the feature when you want to be able to server common browsers as fast as possible... A possible solution will be to implement the same behavior by using HTTP2 (HTTP2 VS HTTP1), which has this as a default (HTTP2 multiplexing).
Shimon Cohen
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