You can transfer your files from your 2015 iMac to the new 13-inch MacBook Air using Apple’s Migration Assistant, and you may not need to connect the two Macs directly.
Apple supports transferring your documents, applications, user account and settings from a Time Machine backup as well as directly from the old Mac. (Apple Support)
If you already have a current Time Machine backup of the 2015 iMac on an external drive,
I would generally recommend using that backup with Migration Assistant.
A direct connection to the backup drive avoids relying on a Wi-Fi transfer and can be faster and more dependable, depending on the drive and connection.
Apple provides instructions here: Transfer to a new Mac with Migration Assistant
If you do not have a Time Machine backup, you can transfer directly from the old iMac, including wirelessly. I would wait before buying a cable because the correct cable or adapter depends on the exact ports on your 2015 iMac.
For the MacBook Air, the exact box contents depend on the model and configuration you purchase.
Apple provides the specifications for each model here: MacBook Air specifications
For your Canon PIXMA printer, I would need the exact model number to confirm compatibility with the macOS version on the new MacBook Air.