Having trouble verifying Apple TV plus login

I want to watch Apple TV plus on my roku (current generation). I have the app and it loads just fine. When I go to log in using my Apple ID, it wants me to enter a six-digit verification code. The problem is, I don't know where it's sending that verification code. I want it to come to my Android phone via SMS (the phone number is the one associated with my Apple ID). I have no trouble verifying it that way in a browser on my Windows 10 computer, and I can watch Apple TV plus there, but it just won't seem to send my phone the verification code when I try to get Apple TV plus in my Roku to do it.

Can anyone please help? There is no other option for verification in my Apple Roku app.