From that HAR I can see that the authentication request starts at:
https://[TENANT].eu.auth0.com/authorize
but then ADFS redirects to:
https://[CUSTOM_DOMAIN]/login/callback
A single login transaction needs to be started and completed in a consistent authority; in other words, it is not supported to start a transaction with the tenant domain and have a connection (upstream identity provider) send a response to the custom domain or vice-versa.