I started from the beginning, setting up Guardian from scratch, and it worked.
I’m still not clear why it wasn’t working in the first instance.

If anyone is interested, I did the following:

mix.exs:

• Added Guardian.

...
def application do
  [mod: {MyApp, []},
   applications: [:phoenix, ..., :guardian, ...]]
end

...

defp deps do
  [{:phoenix, "~> 1.2.1"},
   ...,
   {:guardian, "~> 0.14"}]
end

…then ran mix deps.get

config.exs

• set allowed_algos to HS256
• set issuer to Auth0 domain
• set verify_issuer to false. This may have been what solved it, although I did try changing this in my initial attempt.
• set secret_key to Auth0 client secret
• set up my own serializer - see next step.

...
config :guardian, Guardian,
  allowed_algos: ["HS256"], # optional
  verify_module: Guardian.JWT,  # optional
  issuer: <Auth0 domain>,
  ttl: { 30, :days },
  allowed_drift: 2000,
  verify_issuer: false,
  secret_key: <Auth0 client secret>,
  serializer: MyApp.GuardianSerializer

...

serializer.ex

• I’m not getting anything in/out of the token at this point, so this is not of any significance, just yet

defmodule MyApp.GuardianSerializer do
  @behaviour Guardian.Serializer

  def for_token(id), do: {:ok, id}
  def from_token(id), do: {:ok, id}

end

router.ex

• Added the following Guardian plugs to the exisiting :api pipeline, as follows

...
pipeline :api do
  plug :accepts, ["json"]
  plug Guardian.Plug.VerifyHeader, realm: "Bearer"
  plug Guardian.Plug.EnsureAuthenticated
  plug Guardian.Plug.LoadResource
end
...

And that seemed to do the trick.

Thanks all, for your help