As of Android 6.0 (API level 23) the application can designate itself as the default handler of a given type of link. In addition to that the application can also request automatic verification that it’s indeed associated with the link in question which should then, by default, bypass the user prompt at step 4. and automatically open the callback link through your application.
In order to request automatic verification you need to place the android:autoVerify="true" attribute in the intent filter associated with the given link. In addition, ** your client application in the Auth0 Dashboard needs to be correctly configured to include the Android related settings that enable the verification process to succeed**. In the client advanced settings, select the Mobile section and provide the Android app package name and key hashes. See (Android Development Keystores and Key Hashes) for reference documentation on how to accomplish this.
Having met the above requirements of enabling auto verification at the intent filter level and configuring the client application correctly then on supported Android versions the callback link should open with your application automatically instead of prompting the user.