You can allow only OPTIONS verb for anonymous users.
<system.web>
<authentication mode="Windows" />
<authorization>
<allow verbs="OPTIONS" users="*"/>
<deny users="?" />
</authorization>
</system.web>
According W3C specifications, browser excludes user credentials from CORS preflight: https://dvcs.w3.org/hg/cors/raw-file/tip/Overview.html#preflight-request