They're sisters, are they? I knew their surname was the same, but I never made the connection.

connection 是名词，来自动词 connect（连接、联系），加上名词后缀 -ion 表示"联系、关联"的动作或结果。在这里指"把姓氏相同这个线索和她们是姐妹这个事实联系起来"的思维过程。