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Curve
A connection between two points is called a curve.
Explanation
The mathematics you have learned in school was for the most part described by the ancient Greek Euclid, and is therefore already hundreds, sometimes even thousands of years old.
Mathematics is quite abstract, because you work with points, straight lines, flat surfaces, cubusses, circles, ellipses, cylinders, spheres, and so on. These things do not exist in nature. There are no straight trees, and planets turn no laps around the sun. Nothing is as perfect as it is described in the mathematical formulas. That is why I am surprised that mathematics is called an exact science.
Let us take it easy. A connection between two points is called a curve, and it could well be a straight line. Whether a line is a collection of infinitely small points doesn't really matter.
We don't even know what infinitely large and infinitely small is, and we will never know.