The error is likely at the website, though might be triggered by something the website has saved on your Mac, or potentially by some add-on apps you might have installed.
Clear your saved website data for that web domain (Safari > Preferences > Privacy > Manage Website Data), remove any add-on VPN client app you might have, disable any ad-blocker you might have installed, restart, and try again.
If that fails, boot into Safe Mode and try again. For that, see: How to use safe mode on your Mac - Apple Support
If the problem persists after the above, contact the folks administering the website that you are working with.