This is closely related to a class of metric spaces which I created, and termed "interpolation spaces" (unfortunately the name is taken by something in functional analysis already) but you won't find anything about this online yet, so I'll give the definition briefly:
A metric space $(M,d)$ is called an interpolation space if given any $x,y\in M$ and any $r\in\mathbb{R}$ such that $r> -d(x,y)$, we can find a $z\in M$ such that
\begin{align}
d(y,z) &= |r| \\
d(x,z) &= d(x,y)+ r
\end{align}
Those last two conditions require that the triangle inequality is an equality for the 3 points, so these are spaces where you can find a point between and beyond two given points at a given distance, so that all $3$ points are "colinear".
These are related to your spaces (connectivity is a bad name in my opinion, seeing as these spaces do not have to be connected, but I will stick with it for now)
Every interpolation space has the connectivity property
The proof is rather straightforward, we need to show the inclusion (we can assume $\varepsilon < r$)
$$B_{r+\varepsilon}\subseteq U_{\varepsilon}(B_r(x)) $$
Thus let $$y\in B_{r+\varepsilon}(x)$$ but $$y\notin B_{r}(x)$$ then we can define $$ r_0:= - \frac{d(y,B_r(x))+\varepsilon}{2}> -\varepsilon$$
(This last inequality is not trivial, you should prove it from the interpolation property)
And then by the interpolation property there is some $z\in M$ such that
\begin{align}
d(y,z) &= |r_0| < \varepsilon \\
d(x,z) &= d(x,y) - \frac{d(y,B_r(x))+\varepsilon}{2} < r
\end{align}
(This last inequality follows since $d(x,y) = r + d(y,B_r(x))$, this too is a non-trivial consequence of the interpolation property)
Then $z\in B_r(x) $ and $y\in B_{\varepsilon}(z) $ and hence by the triangle inequality,
$$ y\in B_{r+\varepsilon}(x) $$
Which concludes the proof.
However, the two notions are not equivalent, the rationals, $\mathbb{Q}$ have connectivity, but they do not have the interpolation property. There are other nice properties possessed by interpolation spaces that these spaces do not possess as well, for example a closed ball is compact if and only if the boundary of every closed ball contained in the original closed ball, is compact.