There are a few things mentioned on this site about this "SAMEORIGIN" error along with suggested fixes. But the easiest fix I have found is when entering the URL, add the following parameter ("?rs:embed=true") (without parens and quotes, of course). You should then be able to open URLs within the Webframe widget. Your URL should then read something like https://my.domain.com/myreport?rs:embed-true&otherparams=asneeded.
I ran across this when attempting to pull down a report from SSRS into ThingWorx. The on-screen error was not helpful at all (On-screen rror message: <URL> refused to connect). But when I opened Developer Tools, I saw the full error (“Refused to display < URL > in a frame because it set ‘X-Frame-Options’ to ‘sameorigin’ ”). Adding the above parameter allowed the report to open very easily, and then you can then print a full paginated report from within ThingWorx from SSRS.