I don't believe a situation exists where using cookies for client-side storage is more secure than local storage. Could you please explain this in more detail?
Now assume your page loads evilsitem.com/tracker.js. They can send requests to your backend, and the cookie will be included, but since your backend ignores the cookie header it doesn't matter. The malicious script, however, cannot access the cookie directly, since the script's origin is not the same.
That's why I say cookies used this way are strictly more secure than local storage: the fact that they're included with every request is irrelevant, and they're protected from direct access by third party scripts. Local storage is not. Even if you use JWT for auth, you should still store it in a cookie.
The same-origin policy only limits access between windows and frames. All scripts loaded on a page will have the same "origin".
If you don't set HttpOnly on your cookies and ignore the cookie header on your backend (i.e. only use cookies for storage, not for transport), cookies are strictly better than local storage, since the only difference between the two is now local storage's lax access policy.
The scenario you're describing can also be solved by using a CSRF token retrieved from the backend. Meanwhile, there is literally no way to secure secrets kept in local storage from third party scripts.