Don't think you can initialise the session for a user that doesn't exist in the Mendix DB.
I think you'll have to create a user if one doesn't exist and store the existing users in the Mendix DB if you want your Auth to be driven by an external service.
Hope this helps.
just guessing here: did you set User.Name and User.Password? Both are required.
btw. proxies.User.commit is just a wrapper for the Core.commit function.
See my answer in this forum post: https://forum.mendix.com/link/questions/91802
This way you create in Mendix a webservice. The identity provider can call this webservice to create the login token and then can redirect that user to a deeplink URL. Deeplink module checks the token and logs the user in.