Trying to determine if we could even get jumbo frames all the way from an EC2 instance in a VPC connected to a TGW back to a customer CNF via Direct Connect.

1. Transit Gateway maintains a uniform MTU of 8500 across all attachments.
2. Packets larger than 8500 arriving at the TGW are silently dropped.
3. TGW does not generate FRAG_NEEDED ICMP packets at this time. As a result PMTUD does not work.
4. TGW enforces MSS clamping for all TCP SYN and SYN-ACKs passing through it.
5. For VPN attachments, MSS is clamped at 1500.

Taking that information into consideration, I would suggest that you conduct your tests. To answer your question, you should be able to transit 8500 byte packets through the system.