The SX2 has 4 large configurable endpoints (2, 4, 6, 8). This would support at most one mass storage interface and possible two HID interfaces. Another consideration is the handling of class requests. Because the external processor would have to handle passing these requests, this may be complicated over the SX2's command interface. This would be a huge overhead for the external processor.
FX2LP/FX1 would be better suited for this application where the internal 8051 can handle the class requests (offloading these responsibilities from the external processor).