These are the options I am aware of:
ASP.NET Universal Providers: http://www.hanselman.com/blog/IntroducingSystemWebProvidersASPNETUniversalProvidersForSessionMembershipRolesAndUserProfileOnSQLCompactAndSQLAzure.aspx https://www.nuget.org/packages/Microsoft.AspNet.Providers
I have used this in the past for SQL Azure and on premise SQL Server is supported. However in this case I won't be using Membership, Roles etc. which have been superseded by ASP.NET identity. Not sure it makes sense to install this old Nuget package to get sessions.
Using Aspnet_regsql.exe: https://msdn.microsoft.com/en-us/library/ms178586.aspx
Running InstallSqlState.sql: https://support.microsoft.com/en-us/kb/317604
(Looks a little dated)
ASP.NET Session State using SQL Server In-Memory: https://blogs.msdn.microsoft.com/kenkilty/2014/07/03/asp-net-session-state-using-sql-server-in-memory/
Looks promising but not sure it's got much traction? We're on SQL 2012 and would have to find out about upgrading to SQL 2014.