Here are two steps to solve if you are hosting with iis server then using the Blazor server app
1> Go to Windows and serach the enter image description her  (Turn windows features on or off) 
2>Then select the           
                        ->  internet information services 
                          -> World wide web services
                            -> Application Development Features
                               - WebSocket Protocol (Turn on)





if you are using the ubuntu then go to set this setting like this

location /_blazor {
    proxy_pass http://localhost:5002;
    proxy_http_version 1.1;
    proxy_set_header Upgrade $http_upgrade;
    proxy_set_header Connection 'upgrade';
}