Hello @tyrone.erasmus,
There are no (reasonable) mechanisms in place today that would allow you to do your own backups of your Auth0 user database. Auth0 does their own backups for their own disaster recovery purposes, but there ways to do the same yourself.
You can possibly get Auth0 Support to send you a full copy of the database, but I don’t believe that is officially supported, and is obviously not helpful when you want regular, frequent, point-in-time backups.
Have a look at this thread for some related information and my general recommendation that you consider storing your user data in your own database.