Although Mirage allows setting headers in a response, the
XMLHttpRequest spec explicitly
forbids access
to Set-Cookie and Set-Cookie2 headers.  As a result Mirage
responses cannot set cookies via headers.
However, you can simulate receiving cookies from an ajax call at the browser level by setting them in a route function handler:
this.post('/users/login', ({ users }) => {
  // log in for 24 hours
  let now = new Date();
  let cookieExpiration = new Date(now.getTime() + (24 * 3600 * 1000));
  document.cookie=`remember_me=cookie-content-here; domain=.dev-domain; path=/; expires=${cookieExpiration.toUTCString()};`;
  return users.find(1);
});
Your Ember client code will now have access to any cookies set
using document.cookie.