Trying to make sense of the various statements of the assassination made by John and Nellie Connally and how they fit with the Z-film, I've made a list specific points made by both:
After the first shot:
1) JBC turns to the left
2) Calls out "Oh, no, no, no" (at some point after this - "My God they're going to kill us all")
3) Turns/recoils sharply to his right.
4) Crumples/doubles up in his seat
5) Is pulled back by Nellie
These things are shown clearly in the Z-film. Points 2, 3 and 4 happen almost together but they occur as described. Point 1 is interesting as there are only two times JBC turns to his left. One time is in the z160's and is caught in the Croft photo but cannot be the moment the Connally's are referring to. The other is between z229 and z234 and :

JBC is clear as to when he is hit:
"I was turning to look back over my left shoulder into the back seat, but I never got that far in my turn. I got about in the position I am in now facing you,
looking a little bit to the left of center, and then I felt like someone had hit me in the back."
In this extreme close up we see JBC turning left until he is facing " a little bit to the left of center" :

It is at this moment JBC says he is hit. JBC estimates z234 as the frame he is hit. The next thing we see in the Z-film is JBC crying out "Oh, no, no, no":

It should be noted that this Gif starts at z235, the very next frame after JBC claims he is hit. What is clear from this is that, according to JBC, he is hit and then cries out "Oh, no, no, no". He is consistent on this point apart from one quote from a Life Magazine interview:
“Between the time I heard the first shot and felt the impact of the other bullet that obviously hit me, I sensed something was wrong, and said, ‘Oh no, no, no.’ After I felt the impact I glanced down and saw that my whole chest was covered with blood.”
The irony is that the article this quote comes from concerns JBC looking through magnified z-frames and it is during this article he positively identifies z234 as the frame he is hit. As we can see, he cries out "Oh, no, no, no" after z234. What is also clear from the Gif is JBC turning sharply to his right and crumpling in his seat.
It is immediately after this that JBC is pulled back by Nellie and, although it's not really discernable in the Z-film, I assume JBC says, "My God, they're going to kill us all"
Nellie Connally is mistaken in believing JBC cries out
before being hit.