The Auth0 external service can be used as a way to manage the user identities from the point of view of authentication and authorization; the business logic and data can and should stay located in your application and associated storage.
You would then proceed to model your business relationships as normal and as required; the only difference would be that you would not be including any user identity related models (think username/password related stuff or social authentication data) as those would be handled by Auth0. In summary, your database would use a user identifier to associate user data to a given user identity managed by Auth0; every user identity managed by Auth0 is assigned a unique identifier so that would be your first choice to use as the way to link user identities in Auth0 to business data.
UserIdentity :: Managed by Auth0
=========| the user_id bridges the gap between Auth0 and YourApp |========
UserProfile :: Managed by YourApp
- (other profile data specific to your application)
Posts :: Managed by Your App
- (other post data)