[eluser]pickupman[/eluser]
I've used both on the same domain, but have not integrated them. The close as the integration was caching the wordpress home page to convert into my CI template. That was before things like PyroCMS existed. If I were doing something similar to you now, I would likely start with PyroCMS and build onto it. CI is great, but why not just create a WP plugin if you are tied into tightly.
You probably just need to have created a 2nd DB connection for CI to connect to the WP database or share the same database. Just make sure you are namespacing your table names. If sharing a database, in your template, query the database for user sessions from the CI table.
Again, both are PHP and MySQL, so you can accomplish anything you want.