Salamun Alaikum.
The connection is merely a superficial one with no 'established' warrant from the Quran. The father in law of Prophet Moses is mentioned in the Quran but not by name. (28:25-28)
From a Biblical perspective, Jethro is indeed argued to be the father-in-law of Prophet Moses, a Kenite Shepherd in the land of Midian but there is contention with other passages such as Numbers 10:29 that posits 'Hobab' as Prophet Moses's father in-law as well. But this is a well known theological discussion and a matter really for Biblical theologians.
Regards,
Joseph.