Sorry, no, this is not possible because the WP registration does not require enough info. Connections requires a first and last name while the user registration only requires username and password.
If you are using a membership plugin to handle WP user registrations where the first and last name is required, then yes, it would be possible to hook into that plugin’s registration process (provide that plugin does provide the required hooks) to auto create the entry in Connections. This would require some custom developed code.
I hope I have thoroughly answered your question.