I have a similar situation for a browser based application. This is what is captured through fiddler.
HTTP/1.1 302 Found
Content-Length: 0
Location: https://login.microsoftonline.com/XXXXX-XXXXX-XXXX-XXXX-XXXX/oauth2/authorize?response_type=code&client_id=XXXX-XXXXX-XXXX-XXXX-XXXX&scope=openid&nonce=XXXX-XXXXX-XXXX-XXXX-XXXX&redirect_uri=https%3a%2f%2fmysitethroughazureappproxy.com%2f&state=AppProxyState%3a%7b%22InvalidTokenRetry%22%3anull%2c%22IsMsofba%22%3afalse%2c%22OriginalRawUrl%22%3a%22https%3a%5c%2f%5c%2fmysitethroughazureappproxy.com%5c%2farcgis%5c%2frest%5c%2fservices%5c%2fmyache%5c%2fMapServer%3ff%3djson%22%2c%22RequestProfileId%22%3anull%7d%23EndOfStateParam%23&client-request-id=XXXXXXX-XXXXX-XXXX-XXX
x-ms-proxy-app-id: XXXXXXX-XXXXX-XXXX-XXX
x-ms-proxy-group-id: XXXXXXX-XXXXX-XXXX-XXX
x-ms-proxy-subscription-id: XXXXXXX-XXXXX-XXXX-XXX
x-ms-proxy-transaction-id: XXXXXXX-XXXXX-XXXX-XXX
x-ms-proxy-service-name: proxy-appproxy-YYY-XXXXXX-7
x-ms-proxy-data-center: YYY
Nel: {"report_to":"network-errors","max_age":86400,"success_fraction":0.001,"failure_fraction":1.0}
Report-To: {"group":"network-errors","max_age":86400,"endpoints":[{"url":"https://zzz.nnnnreports.xxx/api/report?ggg=proxy-appproxy-YYY-xxxxxxx-7"}]}
Have two app proxies. Application A and application B. Both are configured with azure AAD SSO Preauth.
Application A requests some rest services from application B.
User loads application A through azure external url and is only having issues when it is requesting services on application B.
If I manually paste the url above, in another browser session, I get authenticated and receive the json response back.
Then if I switch back to the browser session for Applicaiton A and refresh it, application A now works as normal with data from application B.