Multitenancy support for Azure AD connections

Posting this here in case someone else is struggling with the same and can share some experience.
In short, we have a multi-tenant application, where multi-tenancy is implemented via vanity subdomains. We’ve enabled customers to configure Azure AD SSO as a self-service. Under the hood we’re creating a new Azure AD Enterprise connection in Auth0, and add the Client ID/Secret of the Azure App we’ve created in our Azure tenant.
The problem is with the Identity Provider Initiated flow - when users add the Azure app to their AD and attempt to use it to login to our application directly, which URL should we be sending them? I’m at loss here, because the App Registrations in Azure does not seem to offer any mechanism whee we could specify different URLs where the customer to be redirected when using IdP initiated flow. There’s just the Home URL, but that doesn’t work due to the above described vanitu subdomains approach. I hope the key is somewhere in Auth0. Is there a setting I’m missing or I’m getting this all wrong?

Thanks in advance!