I'm keen to know how to make this work Vitaly.
I've been working around the issue by making the menu item point to the URL of the target page, with the domain set to match what I have in the iframe. That works perfectly well when browsing to the page through the site, but is of course not failsafe; as people might arrive by other paths.
I've tried adding <script type="text/javascript">document.domain = 'www.mysite.com';</script> to the page header section in page settings, but had no luck with it.
Any ideas are appreciated,
Rob