How do I connect an iPad 2 to an iPad Pro?

Not possible.

If you want to transfer your content from an old device to a new one it's performed with a backup and restore.

Backup of your device to iCloud or iTunes: https://support.apple.com/en-ca/HT203977

Restore your device: https://support.apple.com/en-ca/HT204184

mrp2030 wrote:

My iPad Pro has internet and no wi-fi.

If you mean it has a cellular connection, and you want to share it, you do not need a cable at all.

On your iPad Pro, go to Settings->Personal Hot Spot, and turn it on. Then look for your iPad Pro's name in the Wi-Fi network list in Settings->Wi-Fi of your iPad 2.

If the Personal Hotspot is not available, or not visible in the Settings app, contact your cellular carrier for the iPad Pro and verify it is enabled for your cellular service plan.

See here for more details: How to set up a Personal Hotspot on your iPhone or iPad - Apple Support

iPad 2 should have Wifi at the very least.

You can use your iPad Pro as hotspot for the iPad 2: https://support.apple.com/en-ca/guide/iphone/iphbad28def7/ios

Have you determined if the app you want to download is compatible with iPad 2? iPad 2 is now quite old and the maximum iOS version it can run is iOS 9.3.5. Many apps are no longer compatible with such an old iOS level.

What is the app name you want to download?

You can’t connect them at all. What are you trying to do or what do you hope to accomplish by connecting the two devices?

To do what exactly?

Why do you want to connect them together?

All iPads have Wifi.

The models with 3G/LTE have also cellular connectivity.

You can find this in Settings → Wifi