OK, I found a solution, not very elegant, but it solves the problem.
You just have to connect to Volumio via SSH.
Edit the /etc/hosts file
Add the following two lines:
127.0.0.1 captive.apple.com
127.0.0.1 connectivitycheck.gstatic.com www.google.com play.googleapis.com
Save, reboot and no more captive portal on Apple et Android devices.