Designing such a challenge is Impossible.
If we assume that having a connection is equal to being able to exchange any piece of knowledge at any given time then the proof of impossibility of such challenge is as follows:
Proof. First assume that there is such a challenge and Alice is capable of querying such a challenge to correctly determine whether the connection exists.
We give Bob and Carol the exact same knowledge set $K$ prior to the start of the challenge. (Obviously this knowledge set could contain a random tape: an infinite sequence of random bits) Bob and Carol are going to give answers to Alice only based on the knowledge set $K$ and what they later learn from Alice during the challenge.
Since Bob and Carol share the exact same knowledge set both of them know exactly what would be the answer of the other one to any given question about anything they already knew (knowledge set $K$). Their answers to these questions would be either "I can't/don't know" (the question asks about information outside of the knowledge set $K$) or something that both of them are exactly aware of.
To elaborate more clearly, the answers to questions and challenge which require some sort of randomness such as "quote me a title or line from any famous song, book, movie or poem", "send me a ten digit prime number" or "name a tree" would be answered based on an already shared random tape. Which means that at any given time they know exactly which member of all possible correct answers in their knowledge set is the given answer of the other one.
To further clarify things, it should be mentioned that as Bob and Carol have the exact same knowledge set $K$ all questions and challenges that are related to each other in some form would have consistent answers. For example, if Alice asks Bob "Name all of your favorite supercars" and then asks Carol "Does Bob like to have a Ferrari?" should yield consistent answers.
Accordingly, there is no challenge that questions about the knowledge set $K$ which proves the "connection" since consistent answers do not require any "exchange" of information. So, the challenge should ask a question which at least partially assesses the information that Bob and Carol acquired during the challenge.
Assume that the knowledge set $K$ plus what Bob learned from Alice during the challenge is $K_B$ and for Carol it is $K_C$. For the challenge to prove the connection $K_B$ should not be equal to $K_C$ otherwise as discussed earlier both Bob and Carol would know exactly what would be the answer of the other one to any given question and the challenge cannot prove the "connection" since consistent answers do not require any "exchange" of information.
Thus, they should have learned different things from Alice which is impossible since they receive same messages simultaneously from Alice.