I’ve encountered a similar issue. After login, users are redirected back to the login page, due to no being logged in. Disabling the option “Try to prevent cross-site tracking” solved login issue, by permitting third party cookies.
Here is a related news article about Safari’s crackdown on privacy and cookies.
I can’t see that Custom Domains are still in beta, so I think the “real” solution is to replace <customer>(.eu).auth0.com with login.<customer>.com so that the third party cookie becomes a first party cookie.