gdb: make more use of make_target_connection_string

I noticed that we have a function make_target_connection_string which
wraps all the logic for creating a string that describes a target
connection - but in some places we are not calling this function,
instead we duplicate the function's logic.

This commit cleans this up, and calls make_target_connection_string
where possible.

There should be no user visible changes after this commit.