Yes Safari does not support third-party cookies. If you set the Cross Origin Verification page correctly, Safari should work. Do note that Chrome & Opera will not work if they have disabled third party cookies. What happens when you setup the cross origin verification page? What error is thrown? Are you getting a Unable to configure verification page?
If you have an enterprise account you should be able to setup a custom domain. Can you explain your use case why a custom domain is not an option?
An alternative solution would be to use Universal Login, where your application redirects to the authorization server when logging in. By doing that, it’s Auth0 who ask the user for credentials and thus there’s no cross-origin authentication and third party cookies aren’t required. You can read more about universal vs embedded login here.