It sounds like a networking or dns issue. When you are redirected [1] back to Drone it makes an API call to Gitlab to exchange the oauth2 code for a token and this API call times out. Have you tried to docker exec into the Drone container and ping your gitlab instance?
[1] please note the redirect happens client-side in your browser, and therefore does not prove connectivity between Drone and GitLab. I mention this because it is a common misconception.