Doc: Fix incorrect mention to connection_object in CONNECT command of ECPG

This fixes an inconsistency with this parameter name not listed in the
command synopsis, and connection_name is the parameter name more
commonly used in the docs for ECPG commands.

Reported-by: Yusuke Egashita
Discussion: https://postgr.es/m/156870956796.1259.11456186889345212399@wrigleys.postgresql.org
Backpatch-through: 9.4