Shucks. I am having the same problem on 1 of my blogs. Trying to track down the problem now. It might have started immediately when I got WP 2.6, or it might have come up after some other changes I made like a new plugin. The reason I don't know is that WP 2.6 appeared to be working fine, but I didn't need to publish a post for about a week. So I just found out that I get "Could not connect:" error when saving / editing a post. WP 2.6 was running ok til then.
I noticed the post IS published anyway. (Or, the Edits occur). But you just have to click "Back" in your browser, since that error page is a dead end.
It's not happening on my other WP 2.6 blog, oddly. They have different plugins and tweaks tho.
Please post if anyone knows the reason for this error! Or if WP 2.6.1 fixes it?