Hi,
we had the same issue.
For a solution that showed webpages from our Jenkins master in a frame,
we used the plugin
https://wiki.jenkins-ci.org/display/JENKINS/XFrame+Filter+Plugin to
solve the problem.
On the config for the plugin we added
ALLOW-FROM
http://server.that-requests.com/
But we also have the problem where we have an iframe in the description
of a project at the Jenkins master. Which I guess is more in the same
problem that you have.
We have not solved that problem yet :-(
Per A.