Michael was particularly cruel to Connie in GF and II. In GF, Michael has her husband whacked on the day he stood godfather to their son. In the novel, Hagen explains to Kay that standing godfather was Connie's idea, not Michael's, as if that justified the awful hurt. In II, it's Connie who begs Michael to forgive Fredo. Fredo's reinstatement at the Tahoe compound, which put him in Michael's trap 24/7, was Connie's doing.
So, Connie might have gone stark raving mad from guilt if she came fully to grips with how Michael used her and her feelings. Rather than deal with that, she convinced herself that Fredo "drowned."