Hi @ichan
Welcome to the Auth0 Community!
Unfortunately, this behaviour cannot be customized within the Auth0 Dashboard itself. Instead, this error must be handled within your application when the user is being redirected to the callback page as stated in this similar community post.
Once they are redirected, you should be able to display a custom page or a custom error on your callback page informing the user accordingly. You would need to check for the error (unauthorized) and error description (user is blocked).
If you have any other questions, let me know!
Kind Regards,
Nik