I had this same problem. The session ID is sent in a cookie, but since the request is cross-domain, the browser's security settings will block the cookie from being sent.
Solution: Generate the session ID on the client (in the browser), use Javascript sessionStorage to store the session ID then send the session ID with each request to the server.
I struggled a lot with this issue, and there weren't many good answers around. Here's an article detailing the solution: Javascript Cross-Domain Request With Session