I think I see what might be up here. Are you using one of these WiFi Shield sketch files from the Cayenne UI?
If so, those are for the Arduino WiFi Shield and Arduino WiFi 101 Shield respectively. None of the sketches in the Cayenne UI are designed for an ESP8266 to be used as a shield for another Arduino.
Don't let this discourage you from using Cayenne for your project, however. We have lots of users using ESP8266 sketches for Cayenne that @kreggly has shared on this forum. I believe you're looking for this since you're going to use the ESP8266 as the shield for your Uno. Alternatively, (and more popularly), lots of users are using just the ESP8266 on it's own for their projects, see this post for a How-To and more information.
We are working on official ESP8266 support and expect it in Q2 of this year, then you'll see ESP8266 options in the UI and won't have to go digging through forum posts for this popular device anymore.