> What happens to your OpenConnection object then?

It raises an exception. This interrupts the normal flow of things and asks you to deal with the problem asap. If necessary, the handling code then could try to reconnect or abort. If desired, it could return a closed connection to convey that state-change, so that calling code is made aware that it needs to reconnect first and can't just reused the now closed connection. You could revert it to a normal connection (a "Has never ever been opened to begin with"-Connection). Depends on whether your driver/adapter/underlying connection thing cares about a difference in initial connects or reconnecting. If the handling code can't deal with it, it can bubble the exception up one level.

Swapping a `Connection` for an `OpenConnection` isn't heretic by the way, such structures are described by the state pattern. Objects model state, Exceptions model events (state transitions) but the later isn't explicitly described in the original Gang of Four book that way. I just found that exceptions are very usefull for this, given that you react to them in only a limited scope.

Be aware that this idea is culturally dependent. In Java, Exceptions are often discouraged from being used in such a way (exceptions should never be used for control flow and only convey error cases), in Python it's normal to communicate state transition that way, e.g. for-loops watch for StopIteration exceptions.