After messing about with this today, I have come to the conclusion that Sky must have some software that detects the user is connecting via a VPN. I can get straight into the log in page with the VPN tuned off but obviously unable to watch TV. Once the VPN is switched on, the login page becomes unavailable.
The strange thing is that others I know are not affected and can log into Sky Go without any problem. It's annoying really, I pay the bloody subscription to Sky every mont, they provide their Sky Go service but then block you if you travel any further south than the Isle of Wight !