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Connect for what purpose?

If you are attempting to access cellular service from your iPad, via your iPhone’s cellular hotspot:

How to set up a Personal Hotspot on your iPhone or iPad - Apple Support

To synchronise the Contacts, Calendar, Notes, Reminders etc - assuming that both devices are signed-in to iCloud with the same AppleID - simply enable these Apps to synchronise via iCloud on both iPad and iPhone:

Settings > [Your Name / AppleID] > iCloud - enable each App as required

For Messages (including Cellular SMS/MMS messages) you must explicitly enable Text Message Forwarding for your iPad on your iPhone...

On your iPhone:

Settings > Messages > Text Message Forwarding - set to ON - and explicitly enable your iPad from the list of devices.

Also ensure that Messages in iCloud is enabled on both your iPhone and iPad:

Settings > [Your Name / AppleID] > Messages - set to ON