After checking with our team I was able to find out the following.:
The Wordpress plugin can use both the embedded lock or the universal login page.
If you are asking here if you can replace the login widget with a react app using auth0.js then you can use the universal login page option to implement it.
However if you want an entirely separate application and leverage the same users within your Wordpress database to login to this app, you would need to enable the same connections for your new application within the Auth0 dashboard.
I hope this helps shed some light as you venture forward. Thanks!