Our Configure Cisco Duo Security for MFA docs page has an image of the widget and describes how to set it up (no need to duplicate users from what I can tell).
I don’t know all of the details of the DUO product (I’ve only tested the DUO free trial in my tenants), but generally, yes. You should be able to set up a DUO account and connect it to Auth0, then allow your users to self service enroll.
I would suggest you to set up and test both products to ensure it fits your use case. It should only take about 5-10 minutes to get DUO integrated with Auth0.