You need to set the 'zf_keyring' cookie in the domain of your Zenfolio pages. It is only possible if your site and your Zenfolio pages are in the same domain, in other words you have to use a custom domain for this to work.
For example, your main site can be at www.mydomain.com and your Zenfolio custom domain can be photos.mydomain.com. A page at www.mydomain.com should set the zf_keyring cookie and scope it by the mydomain.com domain. This way the browser will send the cookie to pages at photos.mydomain.com as well.