I believe John’s answer on Stackoverflow addresses how to authenticate users without Google accounts using Identity Platform (not to be confused with Cloud Identity). He meant that users can authenticate (sign in) to the application using Identity Platform as a frontend. As for access (roles and permissions and not authentication), you need the Application to use a Google account (service account) with proper IAM roles/permissions on the project to be able to execute BigQuery operations.
User > authentication to app > app executes operations with SA.
Theoretically, if you already have an authentication mechanism for your users, you just need to code the application to use a service account that would execute BigQuery operations. Here is a quickstart guide using Client libraries that you may try.
If you meant that you want to give direct access to Bigquery such as using it in console or direct API executions, each user would need a Google Account (Gmail, Workspace, or Cloud Identity), and each account should have IAM roles/permissions assigned. You can further limit access through dataset level permissions as per this document. I believe the same can be implemented with the app service account.
Here is also a document about different ways to authenticate to Bigquery API that might help. I hope the above helps.
You are correct about direct access. You can implement either Cloud Identity accounts or use service accounts. For the latter I am not sure if it is possible with Power Bi. Maybe as a test create a service account, grant it the necessary roles, and try to connect directly.
As for cloud Identity, and depending on your user-base, you can use the free edition. Here is a document about the differences that might help. Here is a document on how to sign up. You may also check those documents for increasing the user cap and requesting additional licenses
Now it is hard to advise how to implement it with auth0 as it is not my area of expertise. Perhaps reaching the Auth0 community might help. I found this document about using Auth0 as an identity provider with Workspace but not sure if it would help you with your use-case especially with Cloud Identity.
As for my comment about the service account in my past message, I meant that you can also limit access to datasets with the indirect access scenario just like direct access with user accounts. I hope the above helps.