Hi @wesg92,
Welcome to the Auth0 Community!
There isn’t a built in way to achieve this, and would be a great feature request in our Feedback category. It may be possible through a workaround, but would be a fairly complex solution.
If you wanted to explore building your own functionality, you would need to look at requesting a password change ticket to generate the pw change URL, and using log streams to trigger some service to send the SMS.
Keep in mind, you are adding some risk to your application here, and need to manage and verify the user’s SMS number carefully, as it now holds the power to change their password.
Let me know if you have any questions.