Please help us with some screenshots which shows the error.
FYI: In the "Connection Settings" page, you need to enter the "Account Name" And "Account Key". These information can be obtained from https://portal.azure.com -> Storage Account. Here you can get the Name and The Key. With these info in place you can proceed further for Azure Configuration.
In our environment we use proxy to connect externally. I have tested the same and able to get positive result. It is not possible to configure a proxy in VM Explorer but if the proxy is configured in the machine running VM Explorer it should work
Proxy Configuration In BrowserAccount Name and Key1Test Connection
Please help us with the logs to analyze the cause of the issue.
In the Web Interface, go to "admin" -> "Settings" -> "Support" and click to "Generate New Debug Report". Download the zip file and provide it to us.