Brand new Apple Pencil 2 won’t connect to my brand new iPad Pro 11-inch 4th Generation

It should be compatible. Click here ➜ Apple Pencil compatibility - Apple Support

How are you trying to connect it? click here ➜ Pair Apple Pencil with your iPad - Apple Support

What happens when you attach it to the magnetic strip the edge of the iPad?

Does it not show up on screen as attempting to pair?

A models of iPad Pro 11” support the second generation Apple Pencil.

This support page may be helpful with pairing and use of the Pencil with your iPad:

Connect Apple Pencil with your iPad - Apple Support

If you continue to experience difficulties, here is one of the better troubleshooting guides:

https://appletoolbox.com/apple-pencil-not-working-heres-our-troubleshooting-guide/

Be aware that if your Pencil has been set-aside for an extended period, unused and uncharged, the Pencil battery can be irretrievably damaged through deep discharge. In common with all Li-ion batteries, they must always have some level of charge. The tiny internal Li-ion battery is susceptible to permanent/irreversible damage through being left discharged for long periods. Even some “new” pencils can exhibit signs of failure out-of-the-box if they are “old stock”. 

If the Pencil Battery has failed, the only remedy is to replace the Pencil. Being new, If the battery has failed, you should look to having it replaced by your retailer or at an Apple Store.

You might be well advised to visit the Genius Bar at your local Apple Store or Apple Authorised Service Provider (AASP) - where the technicians will be able to test and assess both your iPad and Pencil:

Genius Bar Reservation and Apple Support Options - Apple

If you just bought this Apple Pencil directly from Apple and you’ve done all the troubleshooting steps you should still be able to bring it to Apple and get a replacement.