I've found the issue preventing sandbox to work. Opening SeLinux Troubleshoot I saw that Selinux was the issue and, at the same time, found there a solution. With a few commands it is now working:
sudo setsebool -P domain_can_mmap_files 1
sudo ausearch -c 'Xephyr' --raw | audit2allow -M my-Xephyr
sudo semodule -i my-Xephyr.pp
sudo semodule -X 300 -i my-Xephyr.pp
and voila.. it works.
Hope this may help someone one day trying to run a sandbox on Fedora/SeLinux.