I am having the same problem! However, the name of my sandbox cluster is Sandbox and the “Copy” option that I have from the atlas copies only this:
mongo "mongodb+srv://sandbox-yom3b.mongodb.net/test" --username m001-student
Then a password pops up but after writing it it displays an error saying it cannot connect.
C:\Users\InesProgramacio>mongo "mongodb+srv://sandbox-yom3b.mongodb.net/test" --username m001-student --password m001-mongodb-basics
MongoDB shell version v4.0.9
connecting to: mongodb://sandbox-shard-00-00-yom3b.mongodb.net.:27017,sandbox-shard-00-01-yom3b.mongodb.net.:27017,sandbox-shard-00-02-yom3b.mongodb.net.:27017/test?authSource=admin&gssapiServiceName=mongodb&replicaSet=Sandbox-shard-0&ssl=true
2019-05-21T17:50:09.307+0200 I NETWORK [js] Starting new replica set monitor for Sandbox-shard-0/sandbox-shard-00-00-yom3b.mongodb.net.:27017,sandbox-shard-00-01-yom3b.mongodb.net.:27017,sandbox-shard-00-02-yom3b.mongodb.net.:27017
2019-05-21T17:50:09.923+0200 I NETWORK [js] Successfully connected to sandbox-shard-00-02-yom3b.mongodb.net.:27017 (1 connections now open to sandbox-shard-00-02-yom3b.mongodb.net.:27017 with a 5 second timeout)
2019-05-21T17:50:09.945+0200 I NETWORK [ReplicaSetMonitor-TaskExecutor] Successfully connected to sandbox-shard-00-01-yom3b.mongodb.net.:27017 (1 connections now open to sandbox-shard-00-01-yom3b.mongodb.net.:27017 with a 5 second timeout)
2019-05-21T17:50:10.608+0200 I NETWORK [ReplicaSetMonitor-TaskExecutor] Successfully connected to sandbox-shard-00-00-yom3b.mongodb.net.:27017 (1 connections now open to sandbox-shard-00-00-yom3b.mongodb.net.:27017 with a 5 second timeout)
2019-05-21T17:50:10.631+0200 I NETWORK [js] Successfully connected to sandbox-shard-00-00-yom3b.mongodb.net:27017 (1 connections now open to sandbox-shard-00-00-yom3b.mongodb.net:27017 with a 5 second timeout)
2019-05-21T17:50:10.733+0200 I NETWORK [ReplicaSetMonitor-TaskExecutor] changing hosts to Sandbox-shard-0/sandbox-shard-00-00-yom3b.mongodb.net:27017,sandbox-shard-00-01-yom3b.mongodb.net:27017,sandbox-shard-00-02-yom3b.mongodb.net:27017 from Sandbox-shard-0/sandbox-shard-00-00-yom3b.mongodb.net.:27017,sandbox-shard-00-01-yom3b.mongodb.net.:27017,sandbox-shard-00-02-yom3b.mongodb.net.:27017
2019-05-21T17:50:11.302+0200 I NETWORK [ReplicaSetMonitor-TaskExecutor] Successfully connected to sandbox-shard-00-01-yom3b.mongodb.net:27017 (1 connections now open to sandbox-shard-00-01-yom3b.mongodb.net:27017 with a 5 second timeout)
2019-05-21T17:50:11.707+0200 I NETWORK [js] Marking host sandbox-shard-00-00-yom3b.mongodb.net:27017 as failed :: caused by :: Location40659: can't connect to new replica set master [sandbox-shard-00-00-yom3b.mongodb.net:27017], err: Location8000: bad auth Authentication failed.
2019-05-21T17:50:11.947+0200 I NETWORK [ReplicaSetMonitor-TaskExecutor] Successfully connected to sandbox-shard-00-02-yom3b.mongodb.net:27017 (1 connections now open to sandbox-shard-00-02-yom3b.mongodb.net:27017 with a 5 second timeout)
2019-05-21T17:50:12.679+0200 I NETWORK [js] Marking host sandbox-shard-00-01-yom3b.mongodb.net:27017 as failed :: caused by :: Location8000: can't authenticate against replica set node sandbox-shard-00-01-yom3b.mongodb.net:27017 :: caused by :: bad auth Authentication failed.
2019-05-21T17:50:13.491+0200 I NETWORK [js] Marking host sandbox-shard-00-02-yom3b.mongodb.net:27017 as failed :: caused by :: Location8000: can't authenticate against replica set node sandbox-shard-00-02-yom3b.mongodb.net:27017 :: caused by :: bad auth Authentication failed.
2019-05-21T17:50:14.408+0200 I NETWORK [js] Marking host sandbox-shard-00-00-yom3b.mongodb.net:27017 as failed :: caused by :: Location40659: can't connect to new replica set master [sandbox-shard-00-00-yom3b.mongodb.net:27017], err: Location8000: bad auth Authentication failed.
2019-05-21T17:50:14.409+0200 E QUERY [js] Error: can't authenticate against replica set node sandbox-shard-00-00-yom3b.mongodb.net:27017 :: caused by :: can't connect to new replica set master [sandbox-shard-00-00-yom3b.mongodb.net:27017], err: Location8000: bad auth Authentication failed. :
connect@src/mongo/shell/mongo.js:343:13
@(connect):2:6
exception: connect failed
Please help!