There may be two options for this integration:
Option 1 : Provisioning the users on Azure AD with Auth0 identities
This option is explained for Office 365 app but the same idea may apply for PowerBI too. In this option, the domain federation is done in Azure AD so it should work for every application that uses Azure AD to authenticate technically.
On the first link below, there is a sample rule to create any required licenses on the Azure AD side, so that after a user logs in using a 3rd party IdP e.g. Google through Auth0, Office 365 sees the user as a valid user.
1- https://auth0.com/docs/integrations/office-365-custom-provisioning
2- https://auth0.com/learn/sprinklr-achieves-impossible-sso-with-auth0/
Option 2: Leveraging Power-BI embedded row security feature:
With this option, you may send the user’s credentials obtained from a successful authentication through Auth0 to power-bi API as a proof of user identity. Here are some related links showing how to implement this.
1- Security in Power BI embedded analytics - Power BI | Microsoft Learn
2- Embedding and Report Filters - Microsoft Power BI Community
3- azure-content/power-bi-embedded-app-token-flow.md at master · uglide/azure-content · GitHub