Get User Data from ADFS Server when Redirected from the Claims Provider Trust

We have our Microsoft ADFS, which we use for Authentications on our Mobile App via Auth0.
App -> Auth0 -> Our ADFS -> Authentication Completed -> Data sent to Auth0
Everything works fine up to this point and we receive all the user information correctly.

Next, we added Claims Provider Trust so now the flow is changed to the following.
App -> Auth0 -> Our ADFS -> Claims Provider ADFS -> Authentication Completed -> Data sent to our ADFS -> Data sent to Auth0

Here the issue is being faced, the data doesn’t have the user information.

As per the ADFS team, they say that there might be a missing cookie due to which the seconds ADFS is not able to identify the user.