Problem login in on 1-click Wordpress install after using proxy

Currently my wordpress blog (hosted on DO) is displayed at blog.mydomain.com and I am trying to display it on mydomain.com/blog. mydomain.com is an heroku application (node) so I set up a proxy using express-http-proxy with the following (on the heroku side):

app.use('/blog', proxy('blog.mydomain.com', {
     forwardPath: function(req, res) {
        return require('url').parse(req.url).path;
     }
    }));

ON DO’s side, I have changed the wordpress home url and site url in the wp-config.php like so:

define('WP_HOME','http://www.mydomain.com/blog');
define('WP_SITEURL','http://www.mydomain.com/blog');

My blog displays well on mydomain.com/blog but I can’t seem to login on the wordpress admin page (/wp-admin), I always get the error:

ERROR: Cookies are blocked or not supported by your browser. You must enable cookies to use WordPress.

Of course my cookies are enabled and I tried different browsers . I am sure I am missing something but I can’t figure it out. Do you have any ideas?