If you jsut want to do it using PCS, you can create a single connection with multiple server URLs.
Go to Users > Pulse Secure Client > Connections.
Then to a connect set and scroll down to a connection and click it.
You'll see the following:
You can uncheck the first option that says "Connect to URL of this server only" and then add your server URLs in the second box. You can also configure some behavior using the next two options.
Hope this helps.
If you need real-time routing to the geographically nearest gateway, then Pulse vADC can help to implement an Optimal Gateway Selection solution, and will also support global load balancing between regions if required. Pulse vADC can monitor the health of each instance, and select an alternate gateway if network problems make one or more instances unreachable.
This solution brief gives more information about this can be achieved: