I have not found away to drop a cookie before the url, but I have done the following which may not be suitable in your scenario;
1. Create a factory class to create webdriver instances
2. Before returning the webdriver instance, navigating to any page on the domain under test, and drop the cookie, then navigate browser back.
3. Your test can now begin, unaware that the navigation and cookie dropping has taken place
The webpage does not have to be a valid page, I believe a 404 Not Found page will still allow you to drop cookies.
My problem was that the home page displayed a pop up if there was no historical cookie, so this approach allowed me to hide that functionality