The (total) connected domination game on a graph $G$ is played by two players, Dominator and Staller, according to the standard (total) domination game with the additional requirement that at each stage of the game the selected vertices induce a connected subgraph of $G$. If Dominator starts the game and both players play optimally, then the number of vertices selected during the game is the (total) connected game domination number ($γ_{\rm tcg}(G)$) $γ_{\rm cg}(G)$ of $G$. We show that $γ_{\rm tcg}(G)\in \{γ_{\rm cg}(G), γ_{\rm cg}(G) + 1, γ_{\rm cg}(G) + 2\}$, and consequently define $G$ as Class $i$ if $γ_{\rm tcg}(G) = γ_{\rm cg} + i$ for $i \in \{0,1,2\}$. A large family of Class $0$ graphs is constructed which contains all connected Cartesian product graphs and connected direct product graphs with minumum degree at least $2$. We show that no tree is Class $2$ and characterize Class $1$ trees. We provide an infinite family of Class $2$ bipartite graphs.