Do you think there might be a possible connection between Mimikkyu and Banette?

Aside from sharing a ghost typing, no, sorry. Mimikyu are imp-like creatures that hide beneath a pikachu costume; banette are distilled vengeance animating a discarded toy until the combined spirit and physical object gain sentience of its own. To say that mimikyu and banette are connected would be like saying a lion and a tiger are ultimately the same animal.