There's a directory pymysql there. A directory can also be imported as a module*, with the advantage that it can contain submodules.  Classically, there's a __init__.py file in the directory that controls what's in the top-level pymysql.* namespace. 
So, the connect method you're missing will either be defined directly in pymysql/__init__.py, or defined in one of its siblings in that directory, and then imported from there by pymysql/__init__.py.
*Strictly speaking, a directory that you import like a module is really called a "package". I like to avoid that term—it's potentially confusing because the term is overloaded: what you install with pip is also called a "package" in sense 2, and that might actually contain multiple "packages" in sense 1.
See What is __init__.py for? and the official docs