There is a fundamental difference in the accounts of John and Nellie Connally concerning when JBC used the phrase "Oh, no, no, no".
JBC is clear it happened after he was shot and Nellie is equally clear it happened before he was shot.
In his WC testimony JBC states that he "said" this phrase, in the interview with Nellie Connally that Chris posted she implies he said it with no urgency, however, in her WC testimony Jackie Kennedy states that "...then suddenly Governor Connally was yelling, "Oh, no, no, no." She uses the word "yelling" three times and even says "Governor Connally screamed." In my view, the clip below shows Connally using the phrase immediately after being shot and it's more like Jackie Kennedy's version:
IMO this clip supports JBC's version of when he used the phrase - immediately after being shot. There are a few things about Nellie's version I have a problem with. In the interview Chris posted Nellie makes the following points:
She hears a noise that draws her attention
She turns in time to see JFK raise his hands to his throat
JBC turns to his right but can't see JFK
"Then he flipped to his left but he still couldn't see him"
Then he said "No, no, no"
Then, as he began to turn back he was shot.
Firstly, and most importantly, this account of events is absolutely NOT shown in the above clip.
Secondly, why would JBC be 'yelling' if he wasn't aware what was going on and hadn't been shot?
Thirdly, JBC immediately twists around in his seat offering no shot to his back from the TSBD.
Either JBC or Nellie is correct on this point, it can't be both. IMO the weight of the available (limited) evidence supports JBC.