Ok. I tried...

Code:
Dim client As New WebClient
client.Headers.Add(HttpRequestHeader.UserAgent, "ASP_UK_Holidays.")
Dim rawResponseString As String = client.DownloadString("https://www.gov.uk/bank-holidays.json")
Getting error...

System.Net.WebException: 'The underlying connection was closed: An unexpected error occurred on a send.'

IOException: Received an unexpected EOF or 0 bytes from the transport stream.