The short answer is, SSO-inside-an-installed-PWA is broken on Chrome for Desktop as of Chrome 70 (November 2018).
The good news is, the W3C web.manifest standard has changed, and will no longer require browsers to open out-of-scope navigation in a separate window. This will fix the case of installed PWAs with single-sign-on authentication. This will be fixed in Chrome 71 on the desktop (due December 2018), and is already fixed on Chrome for Android.
Here's the update to the W3C web.manifest spec that details the change. In short, the spec says browsers must not block out-of-scope navigation inside an installed PWA. Instead, the spec encourages browsers to show some prominent UI (perhaps a bar at the top) notifying the user that the navigation is out-of-scope.
"Unlike previous versions of this specification, user agents are no
longer required or allowed to block off-scope navigations, or open
them in a new top-level browsing context. This practice broke a lot of
sites that navigate to a URL on another origin..."