CORS error ("xxx is not allowed by Access-Control-Allow-Headers in preflight response")

Hello,
we are experiencing an issue on our app when it tries to call the /token API, we get the following CORS error:
x-datadog-origin is not allowed by Access-Control-Allow-Headers in preflight response
As a context, we have a React application that connects to our custom domain on auth0 using the SDK and the silent login. That app adds Datadog headers on every external request to enable monitoring tasks but these headers are not declared in CORS headers received after the preflight, thus the connection is refused.
Where and how can we declare these headers in Auth0? Note that we correctly configured the rest of our CORS allowed origins in the Auth0 application.