I am having this problem as well.
There’s an older thread here which I think may be the same issue: False IdP-Initiated login when Testing SAML Connection with Custom Domain
Unfortunately, it looks like its a bug for Auth0, but not a high-priority fix.
Edit: Found another thread about this issue:
https://community.auth0.com/t/saml-sso-using-auth0-as-service-and-identity-provider-login-fails-due-to-idp-initiated-login/108549