At least I can confirm that it can work on the Mendix cloud. The problem might be the making of the certificates and the cyphers that are installed on the systems.
On your end you start with making a Certificate Signing Request. You can do that with openSSL. The password should be left empty here. Then you send that one over to the other party and you will get back a certificate. Now you have to create a p12 container. Where it can go wrong here is that you did not specify the certificate chain. When creating the p12 container you do have to give a password. Then upload the .p12 container in your Mendix environment and restart the server. It would be handy if you can do the logging on the other hand because that part is difficult in the Mendix cloud but your logs will already tell you a lot. And Wireshark is a nice tool to hunt for the problems. But that then should be done on the other party side.
Hope this helps,