The Oxford Enlish dictionary says:
[ad. L. connexin-em (in cl. L. cnexin-) binding together, close union, n. of action f. co(n)nect-re (ppl. stem co(n)nex-) to CONNECT: cf. F. connexion (14th c. Oresme), Pr. connexio, Sp. conexion, Pg. connexão, It. connessione. The etymological spelling connexion is the original in Eng.; in 17th c. it was supported by the verb CONNEX; after the latter was displaced by CONNECT, the n. began c 1725-50 to be often spelt connection, a spelling which, under the influence of etymologically-formed words, such as affection, collection, direction, inspection (all f. L. ppl. stems in -ect-), is now very frequent.
The earlier Eng. lexicographers, including Bailey, Johnson, Walker, Todd, Crabb, recognize connexion only. Connection appears in Webster (1828) who says ‘For the sake of regular analogy, I have inserted Connection as the derivative of the English connect, and would discard connexion’.