Gateway error in US Government: Firewall and proxy configurations may need to be changed.

I'm trying to install the on-premise data gateway and am running into an error when it trys to connect to sign in. 

My license is for the US Government environment.

The error says: "Ensure network access is functioning correctly. Firewall and proxy configurations may need to be changed."

I did some checking and the the ServiceBusSystemConnectivityModeString is set to "Https", is there a setting that needs to change to point to "app.powerbigov.us"

Full error text below: 

Connection to Azure Service Bus seems blocked.

To go through the network requirements, visit https://go.microsoft.com/fwlink/?linkid=838271.

Below is the stack trace:
System.Net.Sockets.SocketException (0x80004005): No such host is known
at System.Net.Dns.GetAddrInfo(String name)
at System.Net.Dns.InternalGetHostByName(String hostName, Boolean includeIPv6)
at System.Net.Dns.GetHostAddresses(String hostNameOrAddress)
at System.Net.Sockets.TcpClient.Connect(String hostname, Int32 port)
at Microsoft.PowerBI.DataMovement.Pipeline.GatewayCore.HealthCheck.ServiceBusCheck.TcpClientCheck()
at Microsoft.PowerBI.DataMovement.Pipeline.GatewayCore.HealthCheck.HealthCheckAction.Run(Func`1 checkMethod)