Part of what you described consists of testing code outside of your control; in general, automated testing and in particular unit testing should focus on the code you control and mock the external dependencies as what you want to make sure is that your code correctly handles the various possible scenarios documented for the external dependency.
In conclusion, you should mock Auth0 so that you have full control of the responses and in this way test the exact scenarios your want to test within your own code. In relation to your second point having a development version of the appliance would imply you would also have to have a production version of the appliance so I guess the strict answer to your second question is no.