The problem could be that the application doesn't like the self generated certificate, could be that it doesn't accept the cert because the host name on the cert is different than the server. Make sure the host name on the server matches the one on the cert. You may need to get a proper certificate , try it as the an http connection first, also maybe try testing with an ssl url that has a proper CA issued certificate.
In the J2SE world this problem can be circumvented by adding your own host name verifier to the Https Connection, however this functionality does not seem to exist in the J2ME io package, so you may just have to use a CA certificate as opposed to a self generated cert for it to work.