Possible solution, and tried successfully in lab environment.
Shibboleth is hosted on a sub domain to the application that are supposed to sets the cookie. So what we tried and what was successful was to send the _idp_session cookie over the REST service and from our application return that value to the client with HTTP header set-cookie.
So now when we redirect the user into our SharePoint environment the client has the _idp_session cookie and gets authenticated thru the chain of client -> SharePoint <-> Azure AC <-> ADFS <-> Shibboleth :)