Maybe. 
 A quick googling shows that Blue Coat can send its syslog via tcp over an SSL link.  Splunk can listen for a TCP input with SSL encryption.  This "should work".  See https://kb.bluecoat.com/index?page=content&id=KB4294  for the Blue Coat side of this.  In Splunk, this is an  inputs.conf  stanza of type  tcp-ssl . 
 Lukas Camenzind has blogged about this setup, including some of the SSL certificate issues he discovered, at http://www.looke.ch/wp/integrating-bluecoat-proxy-sg-access-logs-into-splunk 
 Another option (if the Blue Coat supports it) is IPSec.  You could configure host-to-host IPSec and have all traffic between the two devices encrypted by the IP stack.  However, I can find no evidence that Blue Coat can support this. 
						
					
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