Do you live outside the USA? If so, I sorry because the app to set it up on mobile (Cortana) will be going away after January ends (unless you have a or get a Windows 10 Phone, lol).
If you live in the USA, what type of phone do you have? The IOS Cortana I've heard wasn't working for others and not for me either. My old LG Android (Android 6) didn't work either. My Lumia 950 worked though. So try a newer Android Phone or Windows 10 Phone if you haven't already. If you have then you can only wait for Microsoft to fix this.