Spoilers:
Realistically, if the entity played a part, Connor is dead. However, technically speaking, there is still food on the ship that the group found after the fact. If there was absolutely no food left on the ship, then I would unfortunately say that any surviving crew of the Arran would have resorted to cannibalism, ergo the absence of bodies, but most of the food on the ship would have been canned and had enough preservatives to last two years, and the Arran was stocked for a large crew for a multi-month journey, so Connor could be alive somewhere—the real Connor, not the one who doesn’t remember anything.
I also think there’s not just one entity/illusion at once, considering multiple people in the group disappear to speak with their loved ones at the same time.