Since a variety of setup issues can prevent WordPress from connecting with Zapier, you may want to try a few different solutions.
Since other plugins can also interfere with Zapier's connection, I would suggest disabling all plugins besides the Zapier plugin, then creating a new connection to see if that helps the issue.
You could also try changing the permalink for the WordPress site in case that is causing a connection issue:
The type of permalink used on the WordPress installation is causing trouble. To change the permalink type:
In your WordPress site, go to Settings, then click Permalinks.
Click any permalink option other than "Plain" (this is the default option).