I looked up how to resolve this error and found that it seemed to be caught by the Content Sequrity Policy, so I wrote the following meta tag and tried to resolve the error.
You can use websockets within a Zoom App but you will want to make sure the domain is whitelisted and the websocket URL is added to your Content Security Policy connect-src parameter.
And example of setting up the connect-src can be found in our Custom Layout sample app: