I recall reading here that Connor himself confirmed at his convention appearances that a body double was used, because he did his take with the double. Perhaps someone who has seen a Connor appearance or four (lookin at you, JiNX) could verify this.
Connor said was that he worked with the body double but that what the audience saw was Jolene. I believe he said "what I saw was someone else but what you saw was Jolene".
So they weren't in the scene together. If this is true then both Jolene and Morpheus were correct in what they said about the scene. Interesting.