JWT token in Cookie vs Grafana authentication

We have external product which provides authentication with JWT in HTTP only cookie.
And we want to use it as SSO with Grafana.
But Grafana has option of reading JWT tokens only from HTTP Header and not cookie.

Are there any options or hacks to give cookie to Grafana so it will take JWT token?

Definitely we can solve problem with auth proxy server but maybe there are better alternatives.

Add some proxy in front of Grafana, which will read cookie and add it to the request header.