Hi @rishabh.ohri,
Welcome to the Auth0 Community and thank you for your post.
When it comes to Auth0, the phone extension option is not yet available, as mentioned in this community post, but it is part of our Product backlog, so it should be coming up rather sooner.
After my research when it comes to implementing Twilio with Auth0 MFA, they do not provide a solution out of the box for this use case. However, you might be able to integrate a workaround such as by taking advantage of their Interactive Voice Response system.
I hope this helps your better understand and the case.
Thanks,
Remus