Maybe it's better to send the event only if the connection succeeded:

diff --git a/Modules/_sqlite/module.c b/Modules/_sqlite/module.c
index 8dbfa7b38a..0220978cf2 100644
--- a/Modules/_sqlite/module.c
+++ b/Modules/_sqlite/module.c
@@ -97,6 +97,12 @@ static PyObject* module_connect(PyObject* self, PyObject* args, PyObject*
 
     result = PyObject_Call(factory, args, kwargs);
 
+    if (result) {
+        if (PySys_Audit("sqlite3.connected", "O", self) < 0) {
+            return -1;
+        }
+    }
+
     return result;
 }