So i found a workaround.
Before I used to install the app by going to https://xxxx.ngrok.io/auth?shop=myshop.myshopify.com
This just randomly stopped working. So what I did was I went to the app setup and went thru the: "install on a test store" flow through the app setup page.
This seems to work
Ran into this today, and in my case, it turned out to be user error - I set the HTTP version of the ngrok url for my Application URL, but used HTTPS when I put in the whitelisted callback. When you use HTTP, the response that sets the cookie is an HTTP response, but the cookie is flagged as Secure, so the browser blocks it.