We also experience this problem when using the Apple Sign-In on iOS 13 devices when being signed in on the device with an Apple ID. We opened a support ticket on this and Auth0 currently tries to resolve this issue together with Apple.
On Android or iOS 12 everything works fine, as it goes through Apples web-based sign-in flow, but on iOS 13 it uses the built-in flow which has issues with redirecting to another website.
It also works fine when using the native Sign-In with Apple button in combination with Auth0.
See also this answer in another post: Sign in with Apple + Universal Login in Swift results in a blank page? - #10 by matt.macadam