You can set it to delete ALL cookies on close, then whitelist the sites you want to keep. In settings, click the box that says "delete cookies on close" then click manage permissions to whitelist the intranet sites you want

Note that the only way to keep cookies with a cookies allow exception is to use "Delete cookies and site data when Firefox is closed" like posted above. Using "Clear history when Firefox closes" or other ways to clear cookies will clear all cookies regardless of an allow allow exception. If you want finer cookie control then you need a cookie manage extension.