You'll need to implement a requesthandler for this, see this blog for more information: https://www.mendix.com/blog/requesthandlers-at-your-service/
There is demo module/project in the app store that uses Auth0
You could have a look how it was implemented.
I probably creates a callback handler
In some cases you could use https://appstore.home.mendix.com/link/app/43/ for creating callback URLs.