Add support for lazy connections

[RobertCraigie]

Problem

Currently, defining multiple event handlers using a framework that doesn't support a callback like on_startup() is annoying as you have to check if the client is connected or not before making a query.

Suggested solution

Refactor the internal engine connection to be lazy, i.e. whenever a query is made, connect to the database before running the query.

[RobertCraigie]

We need to take special care that concurrent queries do not create multiple connections.