CORS policy while using Javascript Client

Hi, I am currently using Klaviyo javascript client to do OnSite Activity like the guide
https://help.klaviyo.com/hc/en-us/articles/115005082927-Guide-to-Integrating-a-Standard-Ecommerce-Platform#active-on-site2

When I try to push an identity like this

<script>
  var _learnq = _learnq || [];
  _learnq.push(['identify', {
    '$email': '{{ customer.email }}',
    '$first_name': '{{ customer.first_name }}',
    '$last_name': '{{ customer.last_name }}' 
  }]);
</script>

I got a Cors Error
Access to XMLHttpRequest at 'http://a.klaviyo.com/api/onsite/identify?c=xxx' from origin 'http://xxx:3000' has been blocked by CORS policy: No 'Access-Control-Allow-Origin' header is present on the requested resource.
POST http://a.klaviyo.com/api/onsite/identify?c=QV3wNt net::ERR_FAILED 

I am currently using in my local development and it is a Rails application.

Any idea?

Thank you :)