Domain Mapping: Subdirectory to WPMU subdirectory?

I've done some searching but didn't find anything specifically highlighting this.

Is it possible to have this:

point to instances on a WPMU blog:

The client, otherwise known as my boss, insists on having the domains as subdirectories vs. subdomains on all of our sites and client sites but wants them to map to instances on the MU. If this is possible, how do I set this up? (I already have the site set up in MU, just not sure how to get the ../blog to map to it A Record, C NAME, other?)