No, because you are not pointing to one particular problem out of a set of problems.
If you had six problems, and one of them is a maths problem while the others are chemistry problems, history problems, etc., you might say "That one is a mathematical problem." The use of "that one" (tiu) indicates that you are picking it out of a set of similar things, and that you know some of its characteristics (for example, that it's a problem). You could consider "that one" as short for "that problem".
"That" (tio), without "one", doesn't pick something out of a set, but just introduces an entirely new object to a conversation -- and then talks about it, for example, by saying that it is a maths problem.