If pkgdmg.rb is not able to open the URL to the specified package for download, it currently reports that the file is not found. It would be better if it would report a timeout failure instead, which is more descriptive. I trapped into that and didn't know what was going on given that the file was really present.
So as best configure a proxy and have the package located at a URL which is not served by the proxy (no_proxy environment variable). There is currently a bug in puppet, which doesn't pick up this env variable. So Puppet will assume all URLs have to be reached through the proxy. Now try to install a package from that location. Curl will start but will run into a timeout.
You will see a failure like:
For details about my original bug have a look at https://bugzilla.mozilla.org/show_bug.cgi?id=1053437.