Let\'s say I have a server, and two clients connected to it. (via TCP, but it doesn\'t matter)
My goal is to allow a direct connection between those two clients. This is
Ephemeral ports won't magically eliminate the need to relay through the server, because they are only valid during the life of the session opened through a well known service port. Basically ephemeral ports depend on a server session.
You will need to use the server to relay communications between both clients, that is act as a proxy server. One option would be to setup a SSH tunnel through a SSH proxy server, with the added benefit of security.
Still this doesn't guarantee that the firewall won't block the connection. That depends on the firewall type and configuration. Most residential routers that act as firewalls, by default block all incoming connections. This is normally fine because most of the time the computers behind the firewall act only as clients, which initiate the connections to the outside. And this setup varies, because some restrict initiating connections only to well known service ports like HTTP, HTTPS, FTP, SFTP, SSH, etc., and if your proxy server uses a non-well-known-service port then the connection will be blocked.
But firewalls can be setup to block outgoing traffic also, this is most common in corporate networks, which don't even allow direct connections to web servers and route everything through proxy servers, in order to control resource usage.
You can also research on the use of UPnP to open ports dynamically.