It's not really a connector, as such, but it is being used in that role. It's an RF "feed through" which is simply a coaxial conductor running through an insulating material inside a metal body.
It is not uncommon to see feed-throughs used in RF equipment as it allows a controlled entry/exit of connections through a shielded enclosure. Dave has done at least one teardown of an oscilloscope which show this.
While I'm not an RF guy, I can see they offer some useful advantages:
* Hermetic seal. No issues with moisture ingress or humidity changes
* Fixed capacitance, which can help in circuit design
Yes, the simplest method of connection is soldering. My first thought would be to use a coaxial style cable between this preamp and your power supply - but maybe an RF person could offer a more informed suggestion and whether a connector option is available.