First, using return in those positions is unidiomatic.
Anyway, the lifetime annotation on RwLockReadGuard<'a, Vec<Connection>> is only an upper bound on how long the read guard can live. The guard is allowed to live shorter than that annotation. This means that you cannot produce a borrow into the insides of the guard annotated by that lifetime, since that borrow could then live longer than the guard, even if the cannot outlive 'a, which would be unsound. Consider reading this. To get around this, your iterator would have to be a borrow of the read guard.
That said, does your Connection type happen to contain IO primitives such as a TcpStream? In that case please be aware that letting IO primitives be owned by a single task and using channels for communication is almost always better than putting it behind some kind of lock.