The overall timeout for a custom database script to complete is not configurable so any other requests performed within that script have to have that in consideration.
Assuming that there is nothing that can be done to decrease the time it takes to perform that external operation you can consider not performing the signup through Auth0 as the Create script is optional. In this option the user would be created directly in the custom store and then would be surfaced/visible within Auth0 only after completing the first authentication/login.