Apologies for the delayed response, and welcome to the Auth0 Community!
I would expect the Zapier webhook URL to look something like the Custom Webhook URL shown in this blog post.
(i.e. https://hooks.zapier.com/hooks/catch/...)
If that doesn’t help, can you please share the error you are seeing? You can also DM me the exact URL/snippet and I can see if there are any obvious issues.