codesandbox.io is not working when third party cookies are disabled

[derMart]

🐛 bug report

Description of the problem

Codesandbox is not working when third party cookies are disabled

How has this issue affected you? What are you trying to accomplish?

Codesandbox should work without third party cookies.

Link to sandbox: link (optional)

https://codesandbox.io/s/dreamy-austin-04lwp

Your Environment

Firefox 73, Windows x64
If third party cookies are disabled codesandbox.io just displays a white preview pane.

[garethx]

This isn't a bug, but we can certainly do a better job of informing the user as to the problem, which #2877 is open to track.