It's just not how it works. The iMac has a dedicated GPU driving the internal screen, so the eGPU would have to do all the processing and rendering, pass it back down the TB port to the iMac and the iMac's GPU would have to mirror what is sent. This is effectively how the Nvidia Optimus software works in Windows (but I believe that only works with Intel integrated GPUs). I do believe I was able to start up games on the eGPU in windowed mode and move them to the iMac's screen, but the performance was not great.
So the real win would be a cheap Mac Mini or MBA that drives the eGPU and an external display for gaming. (Or, obviously, being able to pipe the video back into the gorgeous iMac screen).