SSMS login to different domain
That just looks that way because SSMS fills that in with the local credentials even if you passed it something else via command line. 

Behind the scenes, it is using the username you specified in the /user: argument. It would be interesting to know what the actual error message is and if you tried - instead of using a shortcut - from running that command directly in a command line window (and not closing the CMD window while SSMS is still running).

I was just using this feature yesterday so I am 100% certain it works.