With the new Calypso login, when attempting to go through any Jetpack Connect flow as a non-logged in user, the connection flow will fail after a couple of automated retries and will prompt for a manual retry. After retrying, it succeeds in connecting, and redirects to the plans page as expected.

With the old wp-login, no retry is needed.
To reproduce, make sure you are testing on staging (proxied) and:
cc @fabianapsimoes @stephanethomas
I was able to reproduce this issue in development on master setting the following in the browser's console:
localStorage.setItem( 'debug', 'calypso:jetpack-connect:*' )
It looks like this a problem with the _wp_nonce sent to the /jetpack-blogs/:site_id:/jetpack-login API endpoint:
calypso:jetpack-connect:actions Trying Jetpack login. +39s
calypso:jetpack-connect:actions Authorize error +228ms Error: Could not verify your request.
calypso:jetpack-connect:actions retrying auth +14ms
calypso:jetpack-connect:actions retryAuth +11ms
The Could not verify your request error is indeed returned by the API with not_verified as error code (which is very easy to locate in our server code since it's the only occurrence). I'll keep investigating tomorrow to identify the root cause.
Most helpful comment
I was able to reproduce this issue in development on
mastersetting the following in the browser's console:It looks like this a problem with the
_wp_noncesent to the/jetpack-blogs/:site_id:/jetpack-loginAPI endpoint:The
Could not verify your requesterror is indeed returned by the API withnot_verifiedas error code (which is very easy to locate in our server code since it's the only occurrence). I'll keep investigating tomorrow to identify the root cause.