Set environment variables then run script in Jenkins Scripted Pipeline
I figured it out. I was cloning directly into the workspace and then setting my environment variables to point to the workspace as well. I modified both those things. I now create a dir in my workspace and clone into it and I also set my environment variables to directories inside my workspace. Like so:

node('build-01') {
    withEnv(["CMAKE_INSTALL_DIR=${WORKSPACE}/cmake_install", "SDK_INSTALL_DIR=${WORKSPACE}/sdk"]){
        stage('Building') {
            echo "[*] Starting build (id: ${env.BUILD_ID}) on ${env.JENKINS_URL}"
            try {
                sh 'ls -l'
                //ls shows the damn file
                dir('path/to/checkout') {
                    sh '. ./setup-target'
                }
            } catch(all) { 
                sh "echo 'Failed to run setup-target script with error: ' ${all}"
            }
        }    
    }
}


This works. 

Note: Since this site is in beta phase and I barely got any views I posted the same question to stackoverflow, here it is for refernce: https://stackoverflow.com/questions/56015463/set-environment-variables-then-run-script-in-jenkins-scripted-pipeline