How can I clean up Connect to Server's recent servers?

Easily you can edit the file:

gedit ~/.config/nautilus/servers

You can edit the file and remove some entries or if you just want to delete all history you can remove this file:

rm ~/.config/nautilus/servers

I was also trying to clear the "recent servers" list on Nautilus.
I use Ubuntu 18. I found the file servers at this location:

~/.config/gtk-3.0/