Rick
This is a guess, but I suspect that as you are already in the pivot table, as you are using the contextual menu, that it is not allowing a second connection for that table full stop.
What I would do is set up a connection in a new tab and then go to the data menu, connections and look at the connection string. You should then go, in the same area to the connection for your pivot table and paste this connection string in.
Hope that makes sense? (I have to say i am on a machine without 2010, but I think those options should work
Regards
Nick Hodge
Microsoft MVP, Excel
Southampton, UK