at least as of SLAX v6.1.2, the stock initrd contains all drivers needed to fetch the modules (*.lzm) over httpfs
in SLAX v6.1.2 specifically, the boot option "Slax as PXE server" has a major bug that prevents it from operating correctly when used with gPXE
this is due to passing the parameter "tftproot" to pxelinux... most other PXE clients don't pass this parameter to pxelinux
a short-term workaround is to create the file /etc/dnsmasq.conf, put these lines in it, and re-run /boot/pxelinux.cfg/start
dhcp-option-force=208,f1:00:74:7e # pxelinux.magic -- without this, the rest of the lines will be ignored
dhcp-option-force=210,/ # pxelinux.pathprefix