If you would like to stop this behavior you need to disable "Pipeline embedded objects in client request" option under in the ProxySG GUI under Proxy Settings -> HTTP Proxy -> Acceleration Profile. This is a global option.
If you want to stop this for only one site you need to use CPL to accomplish this. A deny rule in a cache layer will stop the packets from being sent out. For example:
Will stop the ProxySG from pipeline embedded objects for IP 126.96.36.199