Bluetooth: host: Set conn state before sending HCI command

Handle a possible race condition in the host connection state.
Set the conn state of the connection object before command is sent. This
is in case the calling function is not scheduled again before the
connection complete event arrives. In this case find_pending_conn will
not find the connection object.

Signed-off-by: Joakim Andersson <joakim.andersson@nordicsemi.no>