Dim PTcache As PivotCache
Dim ConString As String
Dim QueryString As String
Dim file_name As String

Set PTcache = ActiveWorkbook.PivotCaches.Add _
      (SourceType:=xlExternal)

file_name = "C:\" 'Файл для подключения C:\Data.csv

ConString = "Provider=Microsoft.Jet.OLEDB.4.0;Data Source=" & file_name & ";" _
                & "Extended Properties=""text;HDR=Yes;FMT=Delimited"";"

QueryString = "SELECT * FROM Data.csv"
    
With PTcache
        .Connection = ConString 'На этой строке выдаёт ошибку
        .CommandText = QueryString
End With