Ok great, I made it work.
There is one trick here, maybe it will save someone some time:
When you want to connect to wifi as client, default setting is to use it as WAN connection. Consequently, Teltonika will not connect to internet via GSM. To enable the second connection you need to set it up as "Backup WAN". Simply check the box underneath "Backup WAN" option in WAN setup.
This way Teltonika stays connected to the router but since there is no connection to internet, it will use LTE to connect as well. This allows you to forward the traffic from GSM to AP.
Thanks!