The only reason I can think to do that would be if you want to do a functional test of the actual asynchronous connection. That's going to be pretty fragile, and slow down your test bundle.
A better approach is to write unit tests of your implementations of NSURLConnection's delegate methods, like connection:didFinishLoading: (for success cases) and connection:didFailWithError: (for error cases)
I generally set up sample response values and verify that my delegate handles them correctly. For example:
NSString *responseJSON = @"{\"remove\": [123,432], \"new\": [1,2]}";
NSData *responseBytes = [responseJSON dataUsingEncoding:NSUTF8StringEncoding];
// in requestHandler, data would have been set by calls to connection:didReceiveData:
[requestHandler setData:responseBytes];
[requestHandler connectionDidFinishLoading:nil];
// set expectations here for what you'll do with the response
...