I never found a way to do this through Auth0, unfortunately. I instead implemented a workaround on my side. When we create the value that’s sent via the state param, we store the full URL that the user was trying to reach, including the utm* params. When we receive the Auth0 callback, we use the state param, which is forwarded, to look up the full URL. We then copy over the utm* params from that URL onto the URL that the callback handler redirects to.
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