Using “cookieless” domain for serving static assets is common recommendation performance tools give. The reasoning being that cookies do nothing at all for such files, but still consume resources.
It is, however, not something WP can handle for following reasons:
- WordPress does not control domain. DNS points domain to specific server’s IP address, where WP installation (configured accordingly) responds to requests.
- WordPress does not work without cookies. They are necessary for authentication and without them you wouldn’t be able to access WP administration area.
So creating such domain is a task that is both separate from WordPress and more so it should be isolated from WP installation, or it will add cookies and you are back to original issue.