Have you set up some authorized recipients for the sandbox domain?
https://documentation.mailgun.com/en/latest/faqs.html#how-do-i-pick-a-domain-name-for-my-mailgun-account
A sandbox subdomain of mailgun.org. Example: sandboxXX.mailgun.org.
This option allows for quick testing, without having to setup DNS
entries. This domain is provisioned automatically with every new
account. But you can send only to authorized recipients.