The list of sites and site collections appearing in the drop-down depends on the SharePoint search API. There are certain cases when a particular site is not displayed in the list.
1. If you want to connect to a Modern site, please make sure that at least 24 hours have passed since the Modern Site was created. This time is required for SharePoint Search Service to crawl the data about the newly created Modern Site and make it available for you in the drop-down.
2. Check a step-by-step workaround in this article.
3. In all other cases, please submit a ticket and our technical experts will help you to retrieve data from that site in a remote support session