不同数据库的会话变量与不同的主机

I am now trying to build a wp website. I will add a php page that will interact with a different database. According to GODADDY, I cannot have another database in the same hosting(server). If I don't have the databases in the same servers, I will not be able to bring session variables. Is this fact true?

Should I just use cookies to pass variables such as userID/customerID?

if we are get data from multiple database and database hosted on multiple server we can manage session in database it's easy to handle this situation. session table must be federated engine in MySQL