Not sure its a session issue, i think it has to do with the fact that WordPress Dashboard uses relative links.
A quick hackish fix would be to add
curl_setopt($ch,CURL_COOKIEFILE, ''); // Enables session support
Then, add this after closing the curl handler redirect to the actual dashbard location:
curl_close($ch);
header('location: blog/wordpress/wp-admin/');
die();