The most common cause is automatic network scanning is disabled on the TetherBox and it therefore cannot find the corresponding device on the network.
There are 2 solutions for this:
Solution 1 - Using Network Devices
Visit Admin (top right) > Network Devices -> Press "Full Network Scan"
After a couple of minutes, the device should appear in the table and you can create a tunnel by pressing the device name and opening a tunnel:
Note: You can also ping and port scan the device from this page.
Solution 2: Temporarily (re)Enabling Network Scanning
Visit Admin (top right) > TetherBoxes -> Press the pencil next to the corresponding TetherBox.
Make sure that "Disable Automatic Network Scanning" is unticked: