Sure! Just put all of your SQL statements together before you close the connection.
But why would you want to do this? The connection is almost instantaneous and precludes any problems you might have with other users trying to access the same database. (You should be locking the database for each user/session whenever you're adding, editing, or removing data. A lock isn't always necessary for a read-only query.)
There's always a better way. The fun is trying to find it!