Connally himself, after studying high-quality prints of the Z film under high magnification for LIFE magazine, said he was certain, beyond any doubt, that he was not hit before Z228.
When he reemerges into view in Z222, he does have a concerned look on his face and appears somewhat tense, but that is only natural because he has just heard at least one loud bang that sounded like a gunshot. So, yes, naturally, he would feel worried and would become somewhat tense. But that is a far cry from reacting to multiple, extremely painful wounds, including having a bullet tear through your upper torso and smashing several ribs in the process.
In Z238, we see Connally's right shoulder slammed downward and an obvious pained look begins to form on his face. The bullet probably hit him between Z234 and Z237, just as he said.