I am sorry about the issue that you are facing.
It is firstly to be specified that no-reply@auth0user.net is the default email address suggested in the From field for Auth0 tenants, such as when using our email templates.
What i would recommend is to report this phishing attempt directly by providing detailed information via email at phishing@auth0.com, which is specifically designated for this type of reports.
Please let me know how this goes.
Thanks,
Remus