Auth0 doesn’t do that, I promise 
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The user session reference is kept in a cookie (named auth0), and cookies are not shared between incognito and regular windows. The browser is the one preventing this, there’s no way around it for any vendor.
Remember, though, that all tabs/windows running in incognito mode share the same cookie jar, so if you log in on one incognito tab and move to another incognito tab, those two tabs will share the session.
Cookies from an incognito session are not clear until all incognito windows are closed.