You don't need to connect the layer to .lyrx file, you need to connect it to its data source. The .lyrx file defines a layer (or set of layers) and each layer includes a reference to a data source (eg, a shapefile, or a feature class within a database). You need to point the layer to its data source.
You can see where it is looking for its data source by double-clicking the layer (or by right-click the layer, then select 'Properties') to open the Properties window. In the Properties window, select the "Source" section. Take a look at the information there to see what the layer's data source was saved as (when the .lyrx was created). This might give you some idea of where to look for the correct data source.
You can then correct the data source by clicking the Source button at the top-right of this window, OR by closing the window and clicking the red excamation mark. Then you need to select a suitable feature class for the data source (must be the correct geometry - point, line, polygon - that the layer expects).
If you choose the exclamation mark method, ArcGIS Pro will attempt to also fix any other broken layers that used the same original database/workspace as the one your are fixing.
