Normally, if your computer is connected to the internet, even the Sandbox must be connected. There is no extra setting to turn on/off the internet for Sandbox. But you can try updating to the latest build of Insiders which has a fix for internet connectivity. Few issues regarding network connection on Virtual machines and Sandbox have been resolved just by updating to the latest build.
Also, you may try the following steps.
Step 1: Run the Network troubleshooter from Control Panel and check if it detects any issues.
Step 2: Disable and enable the Sandbox feature from Control Panel.
Go to Control Panel > Programs > Programs and Features > from the left top, select Turn Windows features on or off > Scroll down to Sandbox, disable, and enable it to check if it works.
We hope this information provided will helpful. If you require further assistance, please don't hesitate to reach out.