How can I know if a pin is connected or not?

Or to put it another way -- the pin is always physically connected to something. Maybe ground, maybe Vcc, maybe just air...

(Though calling the last a "connection" is pushing the meaning of the word. Floating pins aren't usually considered "connected".)

To test to see if the pin is connected to what you hope it is, you need to generate a test pattern on the other end, and verify reception of that test pattern at your end, or vice versa. A "test pattern" might be very elaborate, as in a PRBS pattern, or might be very simple, as in "yep, it's high, so it must not be dead" for RS-232.
Usually, you do this sort of test in a diagnostic (manufacturing or field), and most of the time, just take the connectivity of production boards on faith.

Board-level connectivity can be tested with JTAG.

Or to put it another way -- the pin is always physically connected to something. Maybe ground, maybe Vcc, maybe just air...

(Though calling the last a "connection" is pushing the meaning of the word. Floating pins aren't usually considered "connected".)

To test to see if the pin is connected to what you hope it is, you need to generate a test pattern on the other end, and verify reception of that test pattern at your end, or vice versa. A "test pattern" might be very elaborate, as in a PRBS pattern, or might be very simple, as in "yep, it's high, so it must not be dead" for RS-232.
Usually, you do this sort of test in a diagnostic (manufacturing or field), and most of the time, just take the connectivity of production boards on faith.

Board-level connectivity can be tested with JTAG.