Has your copy of samtools (htslib actually) been compiled with curl support? If you just did "make" the answer will probably be no. You need ./configure;make. It's dumb and an annoyance of mine that we have two different build routes that by default choose two different combinations of features. Argh. This is almost certainly what the "protocol not supported" means as without curl it won't be able to handle https; only http.

If you do indeed have a curl capable samtools, then is it maybe failing due to a firewall rule? You can use htslib's "hts_file -vvvvv -c in.cram > /dev/null" to read a CRAM file with maximum verbosity enabled, which may shed some light on the manner. (Sadly samtools itself doesn't have any way to enter htslib debug mode, unless you attach a debugger to it.)

For anyone else that runs into this issue, the following worked for me:

wget https://storage.googleapis.com/gcp-public-data--broad-references/hg38/v0/Homo_sapiens_assembly38.fasta
wget https://storage.googleapis.com/gcp-public-data--broad-references/hg38/v0/Homo_sapiens_assembly38.fasta.fai 
wget https://storage.googleapis.com/gcp-public-data--broad-references/hg38/v0/Homo_sapiens_assembly38.ref_cache.tar.gz

tar xzf Homo_sapiens_assembly38.ref_cache.tar.gz
export REF_PATH="$(pwd)/ref/cache/%2s/%2s/%s:http://www.ebi.ac.uk/ena/cram/md5/%s"
export REF_CACHE="$(pwd)/ref/cache/%2s/%2s/%s"

...

{command that was generating the '[W::find_file_url] Failed to open reference..' error}