I'm not sure there's an easy way to do it...
You could maybe create a new pivottable from your external connection, then use a bit of code to change the pivotcache for all existing pivot tables:
Sub ChangePivotCaches()
Dim ws As Worksheet
Dim pt As PivotTable
Dim ptX As PivotTable
'Change this reference to the "new" pivot table based on the external connection
Set ptX = Worksheets("Sheet1").PivotTables("ptExternal")
For Each ws In ThisWorkbook.Worksheets
For Each pt In ws.PivotTables
If Not pt = ptX Then pt.CacheIndex = ptX.CacheIndex
Next pt
Next ws
End Sub
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