How do I connect my Ipad Pro which has a different connection to my Mac Mini to download items?

Presumably your computer has a standard USB Type-A connection - whereas your iPad Pro, dependent upon model, has either a USB-C or Lightning connector. To interconnect your computer and iPad, you simply require the correct cable.

• mophie USB-A Cable with USB-C Connector (1 m)

https://store.apple.com/uk/xc/product/HN892ZM/A

• Lightning to USB Cable (1m)

https://store.apple.com/uk/xc/product/MXLY2ZM/A

Why can you not download directly?

You can only download compatible items on the device you are using and mac OS (Mini) and iOS (iPad) are two different operating systems.

You use a lightning to USB cable.