Update your Pusher javascript library to 2.1.5 (or higher) and it should work (assuming you are also using PhantomJS 1.9 or higher).
Poltergeist automates PhantomJS. PhantomJS does support WebSockets, however it's an older version (until PhantomJS 2.0 comes out, see https://github.com/ariya/phantomjs/issues/11018). The Pusher javascript library also supports various versions of WebSockets so in theory they should work together.
In practice I had trouble getting it to work when using version 2.1.3 of the Pusher JS library (and from the date of this question I imagine you were using an even older version). As of 2.1.5 my poltergeist tests are successfully testing Pusher functionality.