Is there any magento2 module for auth0 give the magento the ability to login or create new customers throw auth0 .
If not do you know which is the best way to implement this .
No, there isn’t anything specifically tied to Magento. When in doubt you can check (https://auth0.com/docs/support/matrix); in particular the CMS plugins section.
With regards to best way to accomplish this it depends more on what Magento allows in terms of integration points so I would consider asking in a Magento specific forum or in a generalist one like SO. Auth0 supports OIDC/OAuth 2.0 based authentication so any support for those protocols in Magento would mean an increased likelyhood of succes. However, neither of those protocols specify user creation/signup so that part would depend.