Web Security Service - WSS
The following article provides similar steps. There are differences between ProxySG and Web Security Service policies.
Allowing a single YouTube video through a ProxySG (KB3710)https://na32.salesforce.com/articles/Solution/AllowingasingleYouTubevideothroughaProxySG?popup=true
Currently, the YouTube URL algorithm contains a unique video ID (for example: tTwddwEceIg) to retrieve videos. This allows Cloud policy to identify and configure that particular video to be allowed.
NOTE: The steps described in this article were tested at the publishing time of this article. YouTube might change its video algorithms at any time.