The error suggests that an OAuth2 transaction was initiated without a redirect URI so the authorization server was unable to then issue a redirect. However, I just did a quick test with a local client application using Passport with a similar configuration to yours and the provided callbackURL was used correctly as the OAuth2 redirect URI so the issue is likely somewhere else.
You only show how you create the Auth0Strategy, but then there are more code required so my suggestion if for you to try to reproduce the issue with the minimal amount of code and then share the example that is able to reproduce the issue.