Since all of FogBugz's authentication is handled within the application itself (that is, we don't use IIS's authentication mechanisms), I would say it wouldn't work directly with FogBugz. You could always put in a proxy of some kind which auths this way; I'm sure there's a great deal of support for that. That authentication is really with the server itself, though, and not FogBugz specifically. It would just control who could even get to the FogBugz login.
At this time, the only methods that FogBugz will use to authenticate are local (user/pass stored in the database), LDAP, or AD.