In an on-premises environment you have the ability to self-host the ConnectIT API. To do this you have to download the set of application files which corresponds with your ConnectIT version. This is a zip-file with a name like: ConnectIT365.SelfHostedAPI.v18.104.22.168.
Please unzip this file, and register a new web application in your IIS webserver.
After starting that website, you should be able to browse to the root of that site, which will show you a Swagger documentation page.
Now you can go back to the ConnectIT setup, and fill in the address of your self-hosted API.
Be aware that when you update your version of ConnectIT, to also update API application.