Yeah, right now the weights aren't even pushed to the repo so there's no way for the github page to load them in. I've looked a tiny bit into it and might end up making a fix for it, having it load the weights by fetching them from somewhere else on load, but probably not today.
There is a link to the zipped up folder with the weights here: https://github.com/nathan-barry/gpt2-webgl/releases/download...
If anyone wants to make a PR which fetches the file from there, unzips it, then loads in the weights from there that would be greatly appreciated.