Thank you for reaching out to us on our online Answers forum. I can understand why you are contacting us about not being able to connect to the Slingbox using the Windows Phone Mobile Application while on the mobile data network. I would be glad to help you out. I would try updating the application from the Windows Market. If that doesn't work verify that Internet viewing is working on the home location.
Here are a few links to check out:
The Sling Media Moderation Team