Try Ending the Application Process
I was having the same trouble on a second generation iPad. It would load up to 99% and hang for hours. I tired it many times and checked my Internet connections.
I finally got episodes 2-5 to download after I removed The Walking Dead from my recent application list (stopping the running process and forcing a restart). After that they all loaded faster and finally completed.
It's frustrating to not have it work, but it really sucks that no one is getting any response from Telltale.