We don't presently have a registration system like New York has, so that's not an issue.
There are a lot of people in Connecticut who own guns that are not in the state's database (e.g. because they purchased them out of state, antiques, the state lost track of the records, the state entered information incorrectly in their database, etc...). It's also not unheard of for people who own pistols to be applying for "new" permits (e.g. previously had a permit and it expired, bought pistols on a 14 day wait before that handgun safety act required a permit/COE, retired LEO who didn't previously have a permit, moved into state with guns, has/d an eligibility certificate and wants to take their pistols out of the house, and several other reasons). In general, if it's not on the database, they wouldn't know that the applicant had it. There are some towns that do ask for an inventory of applicant's weapons as part of the application process (something that is outside the state application).
I wouldn't have any concerns about lawfully carrying a pistol that isn't in the database, though sometimes it may raise questions. At one point there was a video of somebody open-carrying in Hartford (back when open carry was legal) that had a gun that wasn't associated with him on the database that did get a couple of extra questions about it). There have also been a couple of appeals hearings in which the state has attempted to use information of guns coming back to others as a way to try to create negative inference as well.