You need to bind your function to ToolTipWidgetDelegate somewhere earlier than NativeConstruct(). Initialize() is fine. That’s because some tooltip widget-related magic happens in the parent’s SynchronizeProperties() which gets called BEFORE the NativeConstruct() but AFTER Initialize().
Also, make sure your GetToolTip() function is marked as UFUNCTION.
Btw I’m sorry to revive this ancient topic, but I ran into the exactly same issue yesterday and it took me hours to figure it out.