Based on the information provided you’re calling Auth0.js authorize method which will initiate an authentication through universal login. This means that the actual login page (user interface) is centralized at your Auth0 tenant domain instead of being hosted in the application itself.
The above implies that in order to use a custom domain you need to ensure that:
- the client application that starts the authentication request does so by using your custom domain. For this it’s sufficient to update Auth0.js domain option in your client application (no overrides).
- the hosted login page configuration at your tenant is ready to process logins through a custom domain. For this, it will depend if you have customized the hosted login page or not and if it was customized it also depends if you’re using Lock or Auth0.js to drive the authentication steps within the hosted login page.
Given you mention that it downloaded Lock, then you likely have a hosted login page (https://manage.auth0.com/#/login_page) configured to use Lock and since it gives an error, this suggests you need to update the hosted login page configuration to handle custom domains. This is where the overrides and likely other settings will be needed so check the documentation available at (Configure Features to Use Custom Domains) for how to setup Lock (within universal login) to handle custom domains.