I have a similar scenario, and had no problem connecting after setting the JNLP port as you describe, and adding a single firewall rule allowing a connection on the server using that port. Granted it is a randomly selected client port going to a known server port (a host:ANY -> server:1 rule is needed).
From my reading of the source code, I don't see a way to set the local port to use when making the request from the slave. It's unfortunate, it would be a nice feature to have.
Alternatives:
Use a simple proxy on your client that listens on port N and then does forward all data to the actual Jenkins server on the remote host using a constant local port. Connect your slave to this local proxy instead of the real Jenkins server.
Create a custom Jenkins slave build that allows an option to specify the local port to use.
Remember also if you are using HTTPS via a self-signed certificate, you must alter the configuration jenkins-slave.xml file on the slave to specify the -noCertificateCheck option on the command line.