Hi I have Sony memory stick pro, but when I connect iPad is not recognising any photo, what should I do?

You connect the Sony camera via USB cable to the iPad using the Camera Connection Kit.

The Camera Connection Kit doesn't read Memory Stick directly.

I assume that you are using it with a card reader with camera connection kit (not all card readers work with the kit) ? If you are and you've have copied the photos onto the card yourself then you need to create a DCIM directory off the root of the card, with the photos underneath it, and the photo filenames need to be exactly 8 characters long (no spaces) plus the file extension i.e. in a similar format as if a camera had created/written them.