From Salesforce Just-in-Time provisioning for Communities doc with only relevant language included below to follow the branch where your sign-in attempt is likely ending up:
Salesforce attempts to match the Federation ID in the subject of the
SAML assertion
If a user with a matching user record isn't found, then Salesforce
searches the contacts for a match based on the Contact ID
(User.Contact) or email (Contact.Email). Contact.Email and
Contact.LastName are both required properties when User.Contact is not
specified, but matching is only based on Contact.Email when both
properties exist.
If a matching contact record isn't found, then Salesforce searches the
accounts for a match based on the Contact.Account or
Account.AccountNumber specified in the SAML assertion.
Account.AccountNumber and Account.Name are both required properties
when Contact.Account is not specified, but matching is only based on
Account.AccountNumber when both properties exist.
- If a matching account record is found, Salesforce inserts a new user record and updates the account records based the attributes
provided in the SAML assertion.
- If a matching account record isn't found, Salesforce inserts new account, contact, and user records based on the attributes provided
in the SAML assertion.
When Salesforce processes the SAML assertion, Federation ID is likely not in the assertion subject or doesn't match what's in Salesforce. Therefore Salesforce thinks user doesn't exist. It then attempts to find a matching contact based on contact information in the assertion. Either it finds the contact in SF but SF contact's account parent doesn't agree with account specified in the assertion (likely root cause) or it doesn't find it and attempts to insert the contact with whatever account number is specified in the assertion and that account number doesn't exist in SF.
To fix - make sure the right user/contact/account information is present in Auth0 and it is sent in the SAML assertion with attribute names that Salesforce expects.
The out of the box matching algorithm in Salesforce JIT provisioning is usually insufficient for any scenario that deviates from a simple use case. Most implementations roll their own by implementing SAMLJitHandler.