We study theoretically the ultrafast nonlinear optical response of quantum well excitons in a perpendicular magnetic field. We address the role of many-body correlations originating from the electron scattering between Landau levels (LL). In the linear optical response, the processes involving inter-LL transitions are suppressed provided that the magnetic field is sufficiently strong. However, in the nonlinear response, the Auger processes involving inter-LL scattering of two photoexcited electrons remain unsuppressed. We show that Auger scattering plays a dominant role in the coherent exciton dynamics in strong magnetic fields. We perform numerical calculations for the third-order four-wave-mixing (FWM) polarization, which incorporate the Auger processes nonperturbatively. We find that inter-LL scattering leads to a strong enhancement of FWM signal and to oscillations at negative time delays. These oscillations represent quantum beats between optically inactive two-exciton states related to each other via Auger processes.