I think the Governor would at times go along with Nellie's claim that he said "Oh, no, no, no, no!" before he was struck by the second shot. She may have been wrong on that as she was on some other things.
It is evident from his various statements that JBC wasn't really sure about when he said it. It is interesting that in his HSCA testimony Connally said that he uttered the words "Oh, no, no, no" not out of concern for his own wounding but out of concern for the President (1 HSCA 43):
When I was hit, or shortly before I was hit-no, I guess it was
after I was hit-I said first, just almost in despair, I said, "no, no,
no," just thinking how tragic it was that we had gone through this
24 hours, it had all been so wonderful and so beautifully executed.
The President had been so marvelously received and then here,
at the last moment, this great tragedy. I just said, "no, no, no, no."
Then I said right after I was hit, I said, "My God, they are going to
kill us all."
Nellie, however, was always consistent in stating that JBC uttered the words after the first shot and before he was hit in the chest.
In any event, Connally is not seen on the film to mouth words until Z242; see "Listening to the Zapruder Film" ( Link ). The article's placement of "Oh, no, no, no!" at Z242-50 suits Mason because he believes the Governor said that separate from "My God, they're going to kill us all!" and--per Nellie and sometimes the Governor--before he was struck in the back by the second shot (which Mason places at Z272).
According to the Mason Theory, therefore, Connally would have to shout something like "My God, they're going to kill us all!" in the the 2.24 sec between Z272 and Z312. The SBT proponents have Connally taking about one second (Z223 to Z242) to perceive the strike to the back and then formulate words. That would leave the Mason Theory with 1.2 sec (Z290 to Z312) for the Governor to say "My God, they're going to kill us all!" The lip-readers say he took 1.75 sec (Z255 to Z287) to say "My God, they're going to kill us all!"
The Mason Theory
which is that the 20+ witnesses who said that JFK was hit by the first shot were correct; that the 40+ witnesses who said that the shot pattern was 1.....2..3 were correct; and the 20+ witnesses who said that the first shot was after z186 were correct.
not only doesn't have enough time for Connally to say those words but the lip-readers said he stopped speaking at Z287. Furthermore, we see Connally turn towards the camera beginning Z289 and he's not mouthing anything.
The lip readers were not exactly sure when he said "My God, they're going to kill us all". They cannot see his lips from z255-287 because, as they pointed out, his faces is in shadow during this period so we cannot see his lips. (His face is sideways to the camera and the sun is at the back of his head):
"255-287: Gov. Connally is screaming and talking (his face is in shadow; he
may be saying, "My God, they're going to kill us all," based on what can be seen of his expressions); President Kennedy, meanwhile, is fainting. "
They also say that he appears to be uttering some words from 312-320:
"312 to 320s Gov. and Mrs. Connally seem to be talking (his mouth is moving; she testified "John said nothing" after he slumped back into her lap). 320s Gov. Connally's mouth seems to be forming the word "Go."
JBC did not mention that he said anything after "My God, they're going to kill us all". So it may be that he started to utter these words sometime just before the head shot and finished saying them just after.