Redirect after SSO

It would be extremely helpful if there were magic links or an option to redirect right to a new request depending on the URL given.

For example, currently if a user isn't signed in and they visit a new request link (ie https://xyz.mlworkorders.com/WorkOrderManage.aspx?RequestId=2), it brings them to a sign in screen with three options, user/pass, Google, or Microsoft/Azure (We primarily used Microsoft/Azure). Once signed in with either Google or Microsoft/Azure, it just brings them to their default screen rather than the new request.

Would it be possible to set a cookie when they select either SSO option, and then when they navigate back use that cookie to direct them to the page they were trying to get to in the ReturnUrl query flag on the Login.aspx page?