There can actually be quite a few reasons for this. In the past I've seen similar behaviours when using certificates to authenticate.
Are you using any ? You might need to install required certificates (if used to authenticate through the proxy) on your android device directly.
How to install certificates on android
If that doesn't work I suggest opening a case with our support team as they will be able to investigate logs and see where the connection went wrong.
Hello! I'm having the same problem. Did you fix it?