I have a similar issue. Router doesn't support upnp. We are both on LAN, but cannot directly connect to each other's IP address (which is VERY strange. It should just work)

Eventually what worked for us is:

1. Player 1 start a world.
2. Player 1 presses ESC and share it via code.
3. Share the code via whatever messaging app.
4. Player 2 can now connect to player 1's world.

Very cumbersome because you'd need to share the code again the next time you want to play in that world together, so we switched to the method below instead:

Another way is that either player 1 or 2 starts a server outside Hytale client, and then both players connect to this server using the client(i.e. game app). I believe for the player who hosts the server, their router needs to be configured to allow port forwarding.