This is most probably an issue with headers or cookies not being forwarded correctly to the shiny proxy, not an issue with Auth0 but with cloudflare + the shiny proxy (shiny-auth0), why do you need a CDN for a shiny server?
I do not understand the logic on why to do that, each time you run a report you’ll be asking for dynamic data, rendering the CDN useless. Assuming you still need it, i do not know the details of how Cloudflare CDN interacts with the proxy, but i’d try checking the configuration of Cloudflare to see if there’s any pass-through that you can apply to avoid headers/cookies to be lost, i know e.g. Cloudfront from Amazon has this.
If that doesn’t work, you can try modifying the proxy to make it work, it’s possible you need to capture the variables differently when using Cloudflare CDN, but i don’t know that really.