Small update. I switched to the ArduinoMqttClient library and I call the .poll method only if the MQTT connection was successful, Arduino now no longer crashes. 
From the new logs, the Arduino cannot open a TCP socket. I tried to open a socket with a python script and it works without any problems.
The MQTT broker uses self signed certificates, could this be the problem?
The logs now are:
AT+USOCR=6
+USOCR: 0
OK
AT+USOSEC=0,1,0
OK
AT+USECPRF=0,0,1
OK
AT+USOCO=0,"mqtt.eu.urbanasolutions.io",8883
ERROR
+UUSOCL: 0
AT+USOCL=0
ERROR
--- MQTT Broker connection error: -2
Connecting to MQTT Broker
AT+USOER
+USOER: 9
OK
AT+USOCR=6
+USOCR: 0
OK
AT+USOSEC=0,1,0
OK
AT+USECPRF=0,0,1
OK
AT+USOCO=0,"mqtt.eu.urbanasolutions.io",8883
ERROR
+UUSOCL: 0
AT+USOCL=0
ERROR
--- MQTT Broker connection error: -2