Hello @Jtpryan
I had never thought about connecting headphones to an Echo dot, just larger Bluetooth speakers.
Your post made me curious to try and to see what the outcome was with my Wyze Headphones.
I was able to complete the paring in my test.
My test was with the Wyze Noise Canceling Headphones (firmware version 2.1.143), 3rd Gen Echo Dot, Alexa iOS App version 2.2.469863
First I made sure the Wyze Headphones were not connected to any other devices
Next I went into the Dot settings in the Alexa App and Bluetooth Settings in preparation to pair the Headphones
I then put the Wyze Headphones in paring mode by pressing the power On/Off / Bluetooth Pairing Button until the Headphones announced “Pairing”
The Wyze Headphones showed up as a selectable device on the Alexa Menu and I selected them, less than 5 seconds later the device paired and I was listening to music.
I am sure you did the similar steps above, so not sure if there is any difference in how you attempted to connect them vs. how I did, but I was able to get them to pair with the above. Hope this helps, if not happy to help you bounce around some other ideas.