Removing triglycerides from blood would technically work, however lipids in blood, including triglycerides typically travel attached to task-specific proteins. So, you'd have to remove the entire protein-lipid complex, and that might have additional ramifications complicating the process.

Bear in mind, dialysis does work, however it certainly does not work as well as we hope it should. Dialysis, in all of its different forms, takes a huge toll on the body, and dialysis itself significantly increases mortality; it is also an invasive intervention.

All that being said, we certainly should be doing more research on this.