Diagnosis
The phone is failing to establish a direct Bluetooth connection to the thermostat for initial setup. This is usually a phone permission or location services issue.
How to Fix It
On your phone, go to Settings. For the Mysa app, ensure Bluetooth and Location Services permissions are set to "Allow" or "While Using the App". On Android, ensure Location is physically turned on (GPS). Force close the Mysa app and restart it. Begin setup again.
If That Didn't Work
Move your phone physically closer to the Mysa thermostat (within 3 feet). Ensure no large metal objects are between the phone and thermostat. Temporarily disable any VPN or ad-blocking apps on your phone.
Heads Up
The initial setup connection uses Bluetooth Low Energy (BLE), not Wi-Fi. Your phone's Wi-Fi does not need to be on, but location services are often required for BLE to function on modern OSes.