I don’t think that Azure AD provides any mechanism for you to export the password hashes of the users. You may be able to export other user information and bulk import it into a database connection in your Auth0 tenant. However, this would imply that all your users would have to perform a password reset operation in order to login through the new approach.
If user credentials (the password themselves) need to be migrated to that users don’t have to reset passwords it may be possible for you to set up a custom database connection with import mode enabled and use the custom scripts to validate the password against Azure AD (likely through a resource owner password credentials grant). This way, whenever a user completes a login with success that password would be validated in Azure AD and then migrated to the Auth0 tenant (Import and Export Users).