I'm assisting some financial services clients with a Python Toolbox I wrote that connects to my company's data API. While their errors are all little different, they all indicate an inability to reach the API from within ArcGIS Desktop or Pro.
The common factors they all have are strict firewalls and using a proxy autoconfiguration file, not an explicitly set proxy host, port and auth info. This is typically indicated in Windows via Control Panel > Internet Options > Connections > LAN Settings. If the option "Use automatic configuration script" is enabled, it appears ArcGIS will have no ability to contact external resources.
