Nokia Lumia 2520 - Can I connect my Lumia phone to my Nokia Lumia 2520 via the USB connection?

Yes, please use a USB 3.0/2.0 OTG cable [USB 3.0 Micro Male to USB Type A Female connector].

Plug this OTG cable to the micro USB 3.0/2.0 port on the upper right side of the Nokia Lumia 2520.