WordPress does NOT use $_SESSION variable, nor the session_start(). Even the function wp_unregister_GLOBALS() in load.php tries to turn it off. This feature does not mean that you cannot use $_SESSION data for your purpose.
You should have a plugin loaded at initi to start session by session_start() call and go!
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The wp-config.php is NOT a good choice to session_start() because wp_unregister_GLOBALS() is active in wp-settings.php.
Could you imagine a CMS without a session state?