Add gallery example for plotting connection lines ("connection" parameter of Figure.plot)

[yvonnefroehlich]

Description of proposed changes

This PR adds a gallery example for plotting connection lines via the connection parameter of Figure.plot.

The code is already a bit older (~ Nov or Dec 2023). So, I have make some adjustments:

• Update the documentation to GMT 6.5 Figure.plot: Update docstring for "connection" parameter to GMT 6.5 #2994
• Update the code to GMT 6.5
• Wrap lines to 88 characters
• Include several dataset ?
• Update the last line of the figure caption in the GMT documentation from
  "directives ra, rt, rs, r10/35 and na" to
  "directives pa, pt, ps, p10/35 and na"
  -F flage of plot: Update figure caption corresponding to GMT 6.5 gmt#8299

Preview: https://pygmt-dev--2999.org.readthedocs.build/en/2999/gallery/lines/connection_lines.html

Fixes #

Reminders

• Run make format and make check to make sure the code follows the style guide.
• Add tests for new features or tests that would have caught the bug that you're fixing.
• Add new public functions/methods/classes to doc/api/index.rst.
• Write detailed docstrings for all functions/methods.
• If wrapping a new module, open a 'Wrap new GMT module' issue and submit reasonably-sized PRs.
• If adding new functionality, add an example to docstrings or tutorials.
• Use underscores (not hyphens) in names of Python files and directories.

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[yvonnefroehlich]

/format

[seisman]

The Docs Preview link should work with the fix in PR #3014.