How to use third party mail security gateway to scan internal/inter-domain mails

You can configure mail flow to rout all messages as you need. You need to be careful that you don't convert what should be "internal" mail to "external" mail. Your best option is to install a 3rd party security tool on the Exchange servers themselves, and they usually act at the transport layer in Exchange.
What type of malicious actions are you expecting from internal senders? Normal antivirus should take care of malicious files, so unless you expect your internal people to be sending phishing emails etc, I don't believe there's really any requirement for this, and if you think internal senders are sending phishing emails there may be some bigger issues at your organisation.