How to issue a self-signed certificate to match Remote Desktop Gateway server address requested

I have an RDG server named gw.domain.local with port 3389/tcp forwarded fromgw.example.com.

Using RDGM snap-in I created a self-signed SSL certigicate with FQDN gw.example.com.

But when I connect over RDP from outside the local network I'm getting an error:

Your computer can't connect to the computer because the Remote Desktop Gateway server address requested and the certificate name do not match

Because certificate subject name is gw.domain.local indeed.

So there question is: how to issue a certificate properly, or how to assign an existing one the name to match?