Hi Nick,
Yes it is very well possible that a firewall blocks connections to the database coming from the cloud. If your local machine is part of a company domain, you probably are able to connect to databases that are not accessible from the cloud due to firewall configuration.
If this is the case, your companies firewall rules needs to be changed to allow the incoming connection from the Mendix cloud. More info on which ip adresses to allow can be found here: https://docs.mendix.com/developerportal/deploy/mendix-ip-addresses/
As for the url: you will need to use a url that is accessible from the outside world. This url may be completely different from the one you use when connecting from inside a company domain.
I hope this helps.