First, I want to apologize for the delay in the response.
When you put the connection in the URL, are you going into the application on the Auth0 side and adding the URL including the connection name to the Allowed Callback URLs field? Can you give this a try and see if it works?
If this doesn’t work, we will need some additional information. Would you be able to send me (in a private message) a HAR file capturing the error to help us investigate? Instructions on that can be found here: Generate and Analyze HAR Files.