Do you use distinct domains for your different systems? If they lie on the same tld and are accessed using subdomains / different paths, you could force Yii to set the cookies so they apply for all of your systems.
But you could also implement an interface in all of your systems like: autoLoginImage.php?user=myUser&mySecretHash=…
where mySecretHash is a hash of the userName, the hash of the requested system, and something else like the current hour. When requested, this script will return a tiny 1x1 image nobody cares and set the yii session cookie for its domain. If a user logs in in one system, simply display a 1x1-image for each of the subsystems. Thus you do not need a redirect and the user can also close your site and open a subsystem directly.