The problem
How to access my MongoDB on Atlas from a Wolfram Notebook?
Following the Wolfram doc, I try this:
MongoConnect[<|
"Host"->"mongodb+srv://blu:[email protected]/",
"CAFile"->$MongoDefaultCAFile
|>].
Unfortunately, this ends up in an error message from the Mongo C Driver saying:
$\color{red}{\text{No suitable servers found}}$,
$\color{red}{\text{Timeout calling ismaster on 'cluster0-shard-00-01.wdvmm.mongodb.net:27017}}$
Debug
1)Error in the Connection String? No.
According to the Mongo Shell, the Connection String is OK:
"mongodb+srv://blu:[email protected]/"
2)Something on the local network?
According to HostLookup[] and Ping[], the Wolfram Notebook process is able to access the Mongo Server.

3)Does is work with Mathematica? Yes
I don't have Mathematica on my machine, but according to @Domen (see comment), the call reach the Mongo Server that replies "Authentication failed".
An idea: when executed with Mathematica, the request to the MongoDB server comes from the local computer, but when executed with Wolfram Cloud, it comes from a Wolfram server. Can someone confirm this?

MongoConnectto Atlas works fine on desktop, but it doesn't work on the Cloud (even after allowing access from any IP in Atlas). I suggest you contact Wolfram Technical Support, since the issue is specific to the Cloud, and it is unlikely we will be able to find a solution on our own ... $\endgroup$