Author here! That's certainly an interesting feature that could be added. I have on the future list to support sending responses back via AMQP. Your callback scheme isn't much different than that.
Re AMQP, I want to mention that our Zurl project does something similar, but with ZeroMQ. It leads to some interesting possibilities: http://blog.fanout.io/2014/02/18/fun-with-zurl-the-http-webs...
Zurl is not an HTTP proxy though, but a ZeroMQ gateway. Templar with async responses would be much more generally useful to HTTP developers.