I think the public APIs around Data Connection are quite new, that would explain why they are not in the palantir.com docs yet. Did you try using the SDK and ran into issues?
The Create Connection endpoint is currently in development and not officially released, which is why you can see a version of it in the Python SDK but not yet in the docs.
We’re hoping for it to be released in about one month. In the meantime, you are welcome to experiment with the current version via the Python SDK. However, it has one limitation: you can’t select a runtime platform when creating a connection – it will just default to a direct connection with no egress policies. This is the piece that is still being worked on.