As documented in this answer https://stackoverflow.com/a/2874174/741695, ASP .NET does not allocate storage for session data until the session object is used.
In short, you can either implement Session_Start in Global.asax and store some dummy data in the Session object to fix its SessionID or you cna do the same somewhere else in your application code.
Hope this helps.
References:
https://stackoverflow.com/a/2874174/741695
http://msdn.microsoft.com/en-us/library/system.web.sessionstate.httpsessionstate.sessionid.aspx