The error yoursubdomain.zendesk.com refused to connect comes from privacy settings blocking third-party cookies. Host-mapped Zendesk accounts have the sign-in page URL support.yoursubdomain.com and the underlying Zendesk page related to the sign-in cookie yoursubdomain.zendesk.com. The disagreement between the page and the cookie is something that can be blocked within the browser directly, as documented in the article: Zendesk support for cookie-restricted browsers (Safari, Chrome), or by ad-blockers or privacy-related extensions.
To solve this issue, make sure the browser allows third-party cookies, at least from Zendesk.
Find the instructions allow third-party cookies in Chrome in this article from Google Chrome Help: Clear, enable, and manage cookies in Chrome.
If your browser has ad-blockers, turn them off to see if this allows you to sign in. Some ad-blockers have their own list of exceptions. If that is your case, add yoursubdomain.zendesk.com to the allow list.
For more information, see the article: I am having trouble logging in to Zendesk.