Auth0 require https to view your resources safely. But usually our localhost is http rather than https. Generate a custom cert file may solve this issue but it require changes on nextjs/express level.
If you're facing issue like checks.state argument is missing during auth0 login step please continue to read.
Caddy is an opensource tool for the local https work, not sure if it's safe enough but it's open source. https://caddyserver.com/
Go download the server and run
./caddy_darwin_amd64 reverse-proxy --from localhost:443 --to localhost:3000
This will start a local https server on https://localhost, you may need give your system password for trust some CERT.
AUTH0_BASE_URL='https://localhost'
After those action the issue should be solved. this solution change nothing on your serverside config, simpler compare to other solutions.