This information is in addition to the General Connection Problems help article.
For connecting to the application you need to allow access to the following URLs:
HTTP and HTTPS for these domains
Note: The game launch (clicking the Play button) currently does not support proxies, so please also allow: assetgame.roblox.com
Once the game launches, it uses UDP ports 49152 - 65535. The IP ranges can be diverse and specific information may not be able to be provided in order to whitelist individual IPs.