The project that I'm working on requires user to login from Salesforce lightening app and redirect it to external page Angular which bypasses the login page of angular and enter to dashboard which is nothing but SSO.
Currently Salesforce app is integrated with Auth0 application and user management is taken care by Auth0. If user is not logged in Salesforce App, he/she should be redirect back to salesforce login page.
I want help in some documentations which could help me in integrating them.
So you want to create an angular app which uses auth0 as identity provider and the login process is handled by a Salesforce lightning app.
You should take a look into https://auth0.com/docs/api/authentication#saml and how to integrate the API endpoints with http client https://angular.io/guide/http.
I have done some similar stuff but rolled my own OAuth2 implementation in angular that's used internally so I can't share it, however there are a few npm packages for OAuth2 in angular that you can implement pretty easily such as https://www.npmjs.com/package/angular-oauth2-oidc
You should probably clarify what OAuth2 flow you are using, are you also implementing OIDC, what have you tried already, code samples etc.