How to resolve a CORS error after redirect from authorisation server?

I made an GET request to https://auth.pingone.com/xxxxxxxxxxxxx/as/authorize/?response_type=code&client_id=xxxxxxxxxxxxxredirect_uri=http:%2F%2Flocalhost:3000%2F&scope=openid+profile&acr_values=Single_Factor which on success returns a Location header with 302 http status code. Then my client(React.js SPA application) redirect onto that location. Everything is working until the GET request but when the client tries to redirect to the location, CORS error comes up.

Access to XMLHttpRequest at 'http://localhost:3000/auth/login?environmentId=xxxxxxxxxxxxx&flowId=xxxxxxxxxxxxx' (redirected from 'https://auth.pingone.com/xxxxxxxxxxxxx/as/authorize/?response_type=code&client_id=xxxxxxxxxxxxxredirect_uri=http:%2F%2Flocalhost:3000%2F&scope=openid+profile&acr_values=Single_Factor') from origin 'http://localhost:3000' has been blocked by CORS policy: No 'Access-Control-Allow-Origin' header is present on the requested resource.

I have earlier resolved CORS but those requests were served by my own server, not the pingone.com.
I tried passing the below headers with the first GET request but then even the first GET request fails during preflight request.

"Access-Control-Allow-Origin": "*",
"Access-Control-Allow-Methods": ["GET", "POST", "OPTIONS", "HEAD"],
"Access-Control-Allow-Headers": ["Origin", "Content-Type", "Accept", "X-Requested-With", "Access-Control-Allow-Methods"]

The response header set by the ping.com authorisation server is:

access-control-allow-credentials: true
access-control-allow-headers: Origin,Content-Type,Content-Length,Content-Disposition,X-Amz-Date,Authorization,X-Api-Key,X-Amz-Security-Token,Cookie,Accept
access-control-allow-methods: OPTIONS,GET,POST
access-control-allow-origin: http://localhost:3000
cache-control: no-cache, no-store, max-age=0, must-revalidate
content-length: 0
content-type: application/json
correlation-id: xxxxxxxxxxxxx
date: Mon, 01 Mar 2021 03:44:19 GMT
expires: 0
location: http://localhost:3000/auth/login?environmentId=xxxxxxxxxxxxx&flowId=xxxxxxxxxxxxx
pragma: no-cache
via: 1.1 01583e0e72b60e3d0d303e6b00e52b4d.cloudfront.net (CloudFront)
x-amz-apigw-id: xxxxxxxxxxxxx
x-amz-cf-id: xxxxxxxxxxxxx
x-amz-cf-pop: DEL51-C1
x-amzn-remapped-content-length: 0
x-amzn-requestid: xxxxxxxxxxxxx
x-amzn-trace-id: Root=1-603c6313-16fbca26388a6f732bb098e9;Sampled=0
x-cache: Miss from cloudfront

What I am doing here and what are the possible solutions?

from How to resolve a CORS error after redirect from authorisation server?