Clever integration, OAuth2.0

We have a web app that is successfully integrating with Google using authorization code grant.
My client wants us to integrate with Clever, an education provider.
Logging in from our Auth0 login page works fine, but to certify with Clever it needs to be launched from their platform. What it looks like they do is initiate a login against Clever and redirect to the callback url. The problem with this is no Auth0 cookies have been set so we see the message

" You may have pressed the back button, refreshed during login, opened too many login dialogs, or there is some issue with cookies, since we couldn’t find your session. Try logging in again from the application and if the problem persists please contact the administrator."

Is there any way around this?