Can I connect a hard drive to a iPad Pro?

No.

There are a few special storage devices for mobile devices. There are portable, bulit-in WiFi hotspot hard drives for mobile devices made by Western Digital and Seagate.

http://www.wdc.com/en/products/products.aspx?id=1330

http://www.wdc.com/en/products/products.aspx?id=1660

http://www.seagate.com/consumer/stream/

There are special mobile lightning connected and built in WiFi Hot spot, USB flash drives made by SanDisk (now owned by Western Digital)

https://www.sandisk.com/home/mobile-device-storage/ixpand

https://www.sandisk.com/home/mobile-device-storage/connect-wireless-stick

http://www.adamelements.com/iKlips/iklips.html

There maybe other drives similar to these, this listing is a little dated, so try your own online search to see what is currently available for iPad external data storage devices.

Good Luck!