Ok, that's more clear now. The request must be forwarded to mongrel, when request get forwarded through proxy, the original request URL is used instead of the written URL.
Using LSAPI will fix this problem for sure. It is better than proxy to mongrel as well. At least for a single machine setup, no need to bother mongrel cluster and load balancing, and performance should be better.
To scale beyond one server, I recommend to install LSWS + LSAPI on each cluster node and have a instance of LSWS load balancing to those cluster nodes. This configuration should be faster than a mongrel cluster setup.
In the future, we may come up with a better solution to have LSAPI integrated with Capistrano, so the cluster can be easily managed via capistrano.
We will release a dedicate load balancer soon if you need more than the stateless load balancer in LSWS.