I have an ajax script that sends some data to an external URL. The external URL is hosted on the same server, however the domain is different than the source of the ajax cal
I dont think it should work on Chrome or Firefox, unless you testing on localhost or something like that, this would be against the crossdomain policy.
What you need is to proxy it inside the same domain, use php to connect to the destination you need and call the url from the same domain.
save_cross_domain.php -> connect through server to the desired url
then ajax calls save_cross_domain.php