Here's how I proved it:
Let $U$ be a connected neighbourhood of $e$. Then $\langle U \rangle$ is a connected subgroup of $G$ that is both open and closed. Since $G$ is connected, then $\langle U \rangle = G$.
Now, I didn't use the assumption that $U$ is connected. I feel that I must have missed something. Please enlighten me.
In general if $G$ is a topological group and $H\subseteq G$ is a subgroup with nonempty interior, then $H$ is both open and closed. Indeed, if $U\subseteq H$ is open and $u\in U$, then $H=\bigcup_{h\in H}hu^{-1}U$ showing it is open. And this implies that $H^c$ (the set theoretical complement of $H$) is open as well, because $H^c=\bigcup_{g\in H^c}gH$.
And so if $G$ is connected, then given any subset $A\subseteq G$ with nonempty interior we have $\langle A\rangle=G$. Therefore you are correct, connectedness of the subset is irrelevant.