Salesforce has removed CSP functionality for lightning:container as documented here. Sure wish they'd remove out dated documentation of this functionality so we didn't all waste our time trying to get it to work... classic Salesforce.
Previous versions of lightning:container allowed developers to specify the Content Security Policy (CSP) of the iframed content. We removed this functionality for security reasons. The CSP level of all pages is now set to high. This value provides the greatest security, because content can be loaded only from the Lightning domain.
Note, this seems to make lightning:container operate in an even MORE strict setting than components outside of a container and also ignores CSP whitelist in Salesforce Setup (wut?). Security at Salesforce is out of control and undermining Salesforce as a developer platform...