I have auth0 official plugin installed and configured on my website.
Login/Signup works fine for website.com/wp-login/ page but
<?php echo do_shortcode('[auth0]'); ?>
inside theme files just returns empty response.
I’m not too familiar with WordPress, but based on this topic, your code looks like it should work. I’m wondering if this could be caused by a plugin conflict. Have you tried this code with other plugins disabled?