The answer is in the SAML module, there is an example that uses a combination of a page and a javascript datasource that does the redirect.
Only challenges that i have left now is when a user has not yet been SAML authenticated.
The user is first send to SAML login but returns to the home page after that instead of the page with url.
If you want to set the URL of the page in the browser you can use the SetURL widget to do this.
https://marketplace.mendix.com/link/component/65083
If you need to redirect to the new URL, you could use the Open URL action in the Nanoflow Commons module to do this.
https://docs.mendix.com/appstore/modules/nanoflow-commons/
If you need to find the UUID of an entity to include in a URL, you can use the GetGUID action in the Community Commons module.
https://docs.mendix.com/appstore/modules/community-commons-function-library/#37-orm
I hope this helps.