I think they are just bragging (asking for difficult conditions).
1. PASW Modeler can be installed on Citrix server, then it can be used remotely, regardless of whether source file is single MSI or with CAB
2.If some strange Citrix server can only install MSI without CAB, it is IT's problem, not user's problem! Ask them to solve it or ask them to get off!
One last resort (again it should be the IT's accountability but in case they didn't (bother to) think about this: see if you can find a converter/packager to pack installation files into a single MSI.
hunterdong.blogcn.com