This is indeed possible, but you might also need some restservices or external entities depending on what kind of information needs to come along with the user. And do note that when switching between Mendix environments a session on that environment is created. So there is no one session for all, just to be clear.
In our case we also have multiple environments. When a user switches from one environment to the other a REST call is made to create session tokens so that with this token the deeplink can create an URL for that user to switch to the other environment where an autologin is done. If all your users are on Okta it might even be easier because you then only need to create a deeplink for that user on the other system and use the SSO URL to transfer the user over to the other system.
Happy building and regards,
Ronald