Internet Explorer 11 - To help protect your security, your web browser has blocked this website from displaying non-secure content

I'm getting the following message when opening a PDF file in a custom reporting web application:

To help protect your security, your web browser has blocked this website from displaying non-secure content.  Click here for options...

The progress indicator is stuck at Initializing.. and the PDF file doesn't open.  If I click for more options I get the following:

Neither of the 'Open desktop' options seem to do anything and the 'What's the risk?' and 'Notification bar Help' options go to broken microsoft.com links.  The 'Show all content' option warns about re-submission:

But clicking 'Retry', all I get is:

And the PDF file doesn't load.

I am able to load PDF files from sources other than this particular web application.  I have tried adding the site to the Trusted Sites list in Internet Explorer settings and I have tried lowering the security options but nothing has worked so far.

What could be causing this issue?

Many Thanks