can you get a screen shot? I am not aware of any pop up box other than when the device does its installation. This is seen as a LAN connection and would not ask for Access Point name.
Try it again but turn off your WiFi radio on your laptop/desktop see if you get the same experience, it may be trying to connect to another WiFi connection.
Otherwise you could be connected by WiFi to the Mobile Hotspot as well as by USB and makes trouble shooting a bit of a challenge.