Connections does not have built in method to group entries. It’s on the to do list but I can not commit as to when it’ll be implemented. Honestly, I’m not certain how truly use that is because grouping just is not effective for large directories. For a few dozen that’ll all be listed on the same page yes, that could be useful.
What can be done now and works very well and you can use without making a purchase is enable the region linking features. These can be enable on the Connections : Settings admin page. Enable the postal code, region and locality linking options.
With these enable, those parts of the address will now be shown as links and when a user click on one of those links, the results will be filtered by the region clicked. You can copy these links and add them to you menus and or widgets.
Hope that helps.