Web Overlays are a fairly experimental form of Overlay. Due to the numerous ways webpages can now be created, some pages do not display correctly.
Next, from the Asset tab/Overlay section click "create new overlay", select 'web page' from the drop down under Overlay 'type' (it is normally set to Video by default), and then fill in the relevant URL. You then need to upload an image to use as a thumbnail, this image will not appear when the Overlay is launched in the Aura - its simply used in the Studio to display the Overlay.
*Please Note: Web Overlays do not work with Android devices - they function with iOS devices only.