So can anyone tell me if it is possible to connect an SDG2042X to the SDS1204X HD and how?
What exactly is the problem, why do you think it wouldn't work the normal way?
There's a couple of great youtube videos that illustrate how you can use a siglent scope for bode plotting, and I cannot see why it would be different for your particular combination of scope/AWG:
Or should I cancel the order and get the USB device instead?
An external AWG can go much higher in frequency, 120Mhz ('hacked') compared to just 25mhz for the USB option. It additionally has 16 bits instead of 14 (although not so relevant for bode plots, as the scope limits the resolution anyway)
An external AWG would also be much more flexible for use in practice, more waveforms, easier to configure, larger amplitude range, better resolution/stability, more flexibility.....
At least in my eyes, the extra money would definitely be worth it. ymmv.