I ran into an issue with this when I was attempting to log users into Discourse from WordPress by silently redirecting them to Discourse and then back to WordPress as a part of the WordPress login process. If SSO was misconfigured, users would be locked out of WordPress.
If you do want to try this type of approach, you will need to enable the sso allows all return paths setting on Discourse. If you do that, you can then redirect users to:
https://discourse.example.com/session/sso?return_path=path_back_to_your_sso_provider_site