I had this problem. Only happened with the Echo Dot 4 though, the 3 connected fine
But yeah, I did the same as the guy above, but I borrowed my family's Sky connection and plugged it into the router, set up my Echo Dot 4, and then put my SIM card back in and the connection was still active
This led me to believe the initial set-up has issues with Three. I also tried a Giffgaff SIM card and set-up worked fine, but swap it out for a Three SIM, and it complains about WiFi
So I had no issues with understanding this was primarily a Three issue, and of course calling them they told me to speak with not only Amazon but Huawei as well. The guy didn't seem interested that a bridged Sky connection and a Giffgaff SIM allowed set-up with no issues, the problem only happened when you try to set-up using a Three SIM