Do we have any connector for Coveo and Adobe AEM Cloud platform ?
Yes, one from TA Digital as mentioned here. https://exchange.adobe.com/experiencecloud.details.102840.coveo-connector-for-adobe-experience-manag...
Another one from mcplusa.com - https://www.mcplusa.com/introducing-mca-aem-connector-for-coveo/ and its open sourced.
Also, check in Coveo documentation for API reference/topics about desired use case and then commence implementation accordingly.
Example: for topic related to Indexing website content from Coveo docs - https://docs.coveo.com/en/1501/coveo-for-commerce/indexing-website-content
Let know if you are looking for any other related inputs.