Cookies are little pieces of data that are placed on your device to track where you've been on a website.  Third-party cookies are data that allows a third-party site to track activity.  While it is possible for this data to be used to track advertising data from a third-party vendor to pinpoint content toward your browsing habits, it is also a required feature for some of our academic applications.  Schoology-Google Drive integration is one example.  While the site you're working on may be in the domain, there are references to (the third-party site) that need to be tracked.  In this case, the "Block third-party cookies" setting has to be turned to "OFF" to allow the integration to work.

In Chrome browser, navigate to:  Settings - Cookies and site data

Block third-party cookies  -  Toggle switch to OFF (white)