Using yield to iterate over a datareader might not close the connection?

Connection will be closed automatically since you're using it inside "using" block.

The Iterator that the compiler synthesises implements IDisposable, which foreach calls when the foreach loop is exited.

The Iterator's Dispose() method will clean up the using statements on early exit.

As long as you use the iterator in a foreach loop, using() block, or call the Dispose() method in some other way, the cleanup of the Iterator will happen.