As a new user to setting up Discourse I share your confusion in misunderstanding the SSO feature. There’s a topic on it, but it still didn’t really convey it’s difference well, especially since some of the SSO settings are for using Discourse as the SSO provider(sort of like how you want to use Auth0).
To use external identity provider for the SSO feature, you need an intermediary service, such as discourse-sso-oidc-bridge, I got that working today with Keycloak instead of Auth0, should be roughly the same.
If you just want to use Auth0 like the social logins such as Google/Facebook/Github, then what you probably want to use is the discourse-openid-connect plugin. You’ll need to install that and use the settings it provides, I tried that with Keycloak before the separate SSO feature. It doesn’t need the bridge inbetween, and might give you what you want(as long as you don’t want details on Discourse to update/sync when a user logs in again, which is the only time Discourse will sync account details).
Users will be prompted to create an account, but all the form fields will be filled out from your auth provider, a future update to the plugin intends to skip this and just create the account(provided it’s the only login option) like the existing SSO feature does.