Malcev proved that every finitely-generated matrix group $\Gamma$ (over any field) is residually finite, i.e. the intersection of all finite-index subgroups of $\Gamma$ is $\{1\}$. Baumslag-Solitar groups, such as $BS(2,3)= \langle a, b | ab^2 a^{-1} =b^3\rangle$, are among simplest examples of finitely generated groups which are not residually finite. A connected Lie group $G$ need not be linear (the universal covering group of $SL(2, {\mathbb R})$ is a standard example). However, the kernel of the adjoint representation $Ad_G$ of a connected Lie group $G$ is always contained in the center of $G$. Thus, if $\Gamma< G$ is a centerless subgroup, then the restriction of the adjoint representation $Ad_G$ to $\Gamma$ is faithful and, hence, $\Gamma$ is isomorphic to a matrix group. It is not hard to see that $BS(2,3)$ has trivial center. Thus, this group is not isomorphic to a subgroup of any connected Lie group. The same proof shows that $BS(2,3)$ is not isomorphic to a subgroup of a Lie group with finitely many components.

Remark. The standard definition of "locally connected" in topology is that every point should have a neighborhood basis consisting of connected subsets. Hence, each manifold (in particular, each Lie group) is, by definition, locally connected. Given your example, it seems that what you really had in mind is that a Lie group $G$ should have Alexandroff compactification $G\cup \{\infty\}$, such that $\infty$ admits a neighbourhood basis $U_i$ satisfying the condition that $U_i\cap G$ is connected. It is easy to see that this requirement is equivalent to the condition that $G$ is connected and 1-ended (equivalently, is neither compact nor a product of compact group with ${\mathbb R}$). I am not sure what to call this property, let's name it ($*$). Then every discrete countable group $\Gamma$ embeds in a Lie group with property ($*$), e.g., $G=\Gamma \times {\mathbb R}^2$.

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