When WhatsApp reports that you are unable to connect over a specific Wi-Fi connection, it is likely that you are on a captive Wi-Fi network.
Captive Wi-Fi hotspots often require you to log in before being able to connect to the internet. If you are on a captive Wi-Fi, you have 2 choices:
If you are logged into the system, and are still having trouble, please either disconnect from the Wi-Fi (and Forget the connection in your Wi-Fi settings), or contact the system administrator to make sure that secure connections are possible through that Wi-Fi hotspot.
Note: WhatsApp does not support proxy connections.
For more possible solutions to connection issues, see this article.