Set cookie from SignalR hub on the server
I eventually decided to set the cookie from the serving MVC controller, i did not find anyway to set this from in a SignalR call.
This is an old question, but in case anyone stumbles on it, there's a way to add cookies from a hub in signalr 2.0+. The HttpContextBase can be accessed through hub request context, so you can do something like this:
var newCookie = new HttpCookie("cookieName", "cookieValue");
Context.Request.GetHttpContext().Response.Cookies.Add(newCookie);