I think the initial phone pairing (at least) is pure Bluetooth, so focus on that side of it. WiFi should not matter at that point, so it's just proximity to the phone and the phone having BT enabled etc.
Just keep telling it to retry. Some people have reported that it can take multiple tries. Or try another phone if you have that option.
Once it's connected then it will ask which WiFi network you want to use and its password and then sends that info over Bluetooth after which the Go will attempt to connect to it.