Build Page in Lightning -> URL No Longer Exists

We’re getting ready to try some Skuid pages in the Lightning UI and we’re off to a bad start.

When I click on Build Pages in Lightning, I get a URL No Longer Exists screen.
Any ideas?

The recommendations on this post were no help:

Just to confirm, you have enabled My Domain in your org? Can you post the final URL that you are getting sent to that isn’t working?

I had not.
This now works - Thanks Zach.