Why is there an intermediate redirect to https://public-url.org/wp-admin?

Question

I have the SITE_DOMAIN set as foo.example.com, this has a SSL for *.example.com

http://example.org, is the url for the frontpage, this works. There is no certificate for example.org. Now, when I access http://example.org/wp-admin the following happens:

1. Redirect from http://example.org/wp-admin to https://example.org/wp-admin
2. Client (browser) issues a certificate warning, there is no certificate for example.org.
3. Client must make an exception for the certificate.
4. Redirected from https://example.org/wp-admin to https://foo.example.com/wp-login.php

Is this intended behaviour? Why does WP make an intermediate redirect to https://example.org/wp-admin? Is this a known bug, and if so, what would be the bug-number?