Thanks for the fast response Conrad! I can now connect to api.soundcloud.com fine, however it turns out that the SDK also wants to connect to soundcloud.com (without a subdomain), could you whitelist that as well? Sorry for the inaccurate first request.
The error message I'm getting is:
HTTPSConnectionPool(host='soundcloud.com', port=443): Max retries exceeded with url: /oembed.json?url=https%3A%2F%2Fsoundcloud.com%2XXXXX%XXXXX&client_id=XXXXX (Caused by ProxyError('Cannot connect to proxy.', OSError('Tunnel connection failed: 403 Forbidden',)))