OK, that is clear now.
I think there are a few things we could try - firstly and most easily, some other video content from YouTube. Reason being that it is possible for publishers to prevent their streams being embedded in other applications and I wonder if Sky News have enabled that option.
If that is the case, then there is very little we can do unfortunately.
If other YouTube content also doesn't work, we can try a completely different website - xibo.org.uk for example to prove that web content in general works.
If it does, we can try another statically uploaded video, and a HLS stream to see if it is a problem with video generally.
I suspect that some of those things mentioned above will work (perhaps even all of them) and it might come down to Sky protecting their feed.
Failing that - if you can share your embed code for the widget, we can try and take a look at it for you.