I am connected to Wi-Fi but when I go to download an update it says I am not connected. Whst does thst mean

Try first to optimize the range of the mobile network, see this Apple article:

If you see No Service or Searching on your iPhone or iPad

If you see No Service or Searching on your iPhone or iPad - Apple Support

If they are On, turn Off Hotspot & VPN.

Check the Wi-Fi connection, see the following Apple articles:

If your iPhone, iPad, or iPod touch won’t connect to a Wi-Fi network

If your iPhone, iPad, or iPod touch won't connect to a Wi-Fi network - Apple Support

Recommended settings for Wi-Fi routers and access points

Recommended settings for Wi-Fi routers and access points - Apple Support

If you need help with your Wi‑Fi password

If you need help with your Wi‑Fi password - Apple Support

If it says you are not connected when updating iOS that means you don’t have a cellular network connection, which is required to activate the phone. It is not asking for a Wi-Fi connection, but rather a cellular network. The message is confusing.