Well - solved my own issue. For those who are interested in trying this:
Had to hard code the OpenSSL path; using the following command:
./configure --with-pam=/usr/local/lib/pam/ --with-openssl=/usr/local/opt/openssl/ --prefix=/usr && make && sudo make install
Also, Mac standard folders are protected and should remain that way. To resolve this, I had to add /usr/local for each standard folder. I had to change the configure file to point to /usr/local/bin, /usr/local/sbin, /usr/local/shared, /usr/local/lib.
Finally, the pam_duo.so does not work on mac, so I went with the login_duo option, and found this awesome reference which helped me resolve it. https://wiki.vcu.edu/display/D2FAS/Detailed+Instruction+for+DUO+with+SSH
Really think Duo should put together a better guide for the Mac. This shouldn’t be this difficult.