You see the error, "No connectivity to the proxy server," when accessing an uncategorized site (e.g. http://www.example.com/) in Cloud SWG (formerly known as WSS),
Filtering rules should have allowed web isolated access to this site.
Other web browsing may be working, or access to the site without Cloud SWG or via another Web Security provider may work without issue.
Incognito mode may be enabled on the browser, which blocks access to the required Cloud SWG isolation cookie shown below. Chrome incognito mode will not preserve cookies or any data for that browsing session.
We must allow access to required isolation cookies for incognito mode to work. Multiple options exist to enable this:
Using developer tools you can clearly see that requests to the sharedomain.html object (Network tab) fail into the isolation service
but more importantly, the console tab shows why ('no access to session storage')
As a result we cannot complete the websocket connection and sandbox the domain for isolation.