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SSO Integrations and Custom Domains

Has anyone used the SSO integration for salesforce with a custom domain? We had it working just fine, but when we move to a custom domain, it ceased to work, presumably because of cross domain cookies. I don’t see any way to get the SSO integration to use that custom domain.

Is this a supported configuration for SSO integrations or do I have to take another path?

Although SSO Integrations are not directly listed under (https://auth0.com/docs/custom-domains#features-supporting-use-of-custom-domains) this feature is mostly a shortcut for creating a client application; in the case of Salesforce is a client application that will integrate with Auth0 using the SAML protocol.

With the above in mind and since SAML client applications are supported with custom domains there should be nothing to prevent you from using it with Salesforce. Have you also reviewed the Salesforce side of the configuration in order to ensure it uses the custom domain?