From a quick look at Shopify docs the OAuth integration is per shop, more specifically, it will happen at different endpoints based on the shop name https://{shop}.myshopify.com/admin/oauth/authorize. I’m not fully certain of what this implies in terms of Shopify, but I guess that each shop has it’s own notion of users and as such are completely independent from each other from an authentication point of view.
If the above is correct then you can’t pass the shop as a dynamic parameter, as each shop needs to be represented independently of each other which in Auth0 terms would map to different connections (independent users).
For the built-in social connections there’s only support for a single instance as you already noted. As an alternative you could consider representing the individual shops as different custom OAuth connections which would allow more control over the configuration and also support multiple connections, however, this would imply creating those connections through the Management API.
For reference: