[step:Convert polygonal reachability into connectedness]
Assume now that every pair of points in $U$ can be joined by a polygonal chain contained in $U$. Suppose, for contradiction, that $U$ is disconnected. Then there exist nonempty disjoint subsets $A,B \subset U$ that are open in the subspace topology on $U$ and satisfy $U=A\cup B$.
Choose $x \in A$ and $y \in B$. By hypothesis, there are an integer $m \geq 1$ and points $p_0,p_1,\dots,p_m \in U$ with $p_0=x$, $p_m=y$, and $[p_{j-1},p_j]\subset U$ for every $j$. Define
\begin{align*}
k := \min\{j \in \{1,\dots,m\} : p_j \in B\}.
\end{align*}
This set is nonempty because $p_m=y\in B$, so $k$ is well-defined. Since $p_0=x\in A$, we have $k\geq 1$, and by minimality $p_{k-1}\in A$.
Define the segment path $\sigma:[0,1]\to U$ by
\begin{align*}
\sigma(t) := (1-t)p_{k-1}+tp_k.
\end{align*}
Its image lies in $U$ by the polygonal-chain hypothesis. Let
\begin{align*}
S := \{t \in [0,1] : \sigma(t)\in A\}.
\end{align*}
Then $0\in S$ and $1\notin S$. Because $A$ and $B$ are open in $U$ and $\sigma$ is continuous, the sets $S=\sigma^{-1}(A)$ and $[0,1]\setminus S=\sigma^{-1}(B)$ are both open in the subspace topology on $[0,1]$. This separates the interval $[0,1]$ into two nonempty disjoint open subsets, contradicting the connectedness of the interval $[0,1]$. Therefore no such separation of $U$ exists, and $U$ is connected.
[/step]