Q: How to see a list of who's connected to my Personal Hotspot

No one can connect to your hotspot without the password that you set. I'd say it's a person within 100 feet of you (not sure the exact range that the hotspot can reach)... that should narrow it down enough.

I have not given my password to anyone.

I often see "two connections" in the blue bar on my iphone5.  Since it is just me, I find this puzzling.

I can see no reason why my MBP would be counted twice.

Check in your System Preferences, in network, to be sure you are not connected thru both Wifi and USB

It happen to me, I usually connect thru Wifi but when I wanted to charge my iphone, I connected the USB, so I ended up with 2 connections

Good thought, but no, I was not connected via USB.

What about bluetooth ?

No, I never have blue tooth.

here is what I would try.

I would change the personnal hotspot wifi password

if I get only one connection after that, than you must have had another devide using it.

If I still get two connections, I would be sure that it has to be through USB or Bluetooth

     if nothing is connected into the connector of the iphone, then USB is out,    

          then I woudl be sure it is from the Bluetooth

Tha's how I found my second conection which was me :-0