Welcome to Auth0 Community @TheEagle! 
Have you seen this doc: User Migration in Login by Auth0 WordPress Plugin
The /dbconnections/signup endpoint requires a connection parameter that will indicate in which connection the user will be registered in. With this in mind and based on the information you provided you’re likely using a sign-up mechanism that is choosing this connection automatically for you.
The Lock library is a great way to have an authentication/registration interface setup in no time, but it does come with its own assumptions. For example, the UI has a single set of input for email and password and as such by default it does not fully support more than one database connection because it would not know how to distinguish between them.
The defaultDatabaseConnection setting restricts to a single database. See - Lock Configuration Options
Please let me know if you have any questions.