Hello Hailo,
What you’re describing is how DiscourseConnect is intended to work.
On the Discourse side of things there is an auth immediately site setting that, as the setting name implies, immediately initiates the authentication flow. However, as the setting description notes:
Automatically redirect to the external login system without user interaction. This only takes effect when login_required is true, and there is only one external authentication method
Assuming your site is not login required what you can do is link directly to the DiscourseConnect authentication endpoint from Wordpress, rather than the base Discourse domain. See further: