I want to add lightning and ESD protection for the antenna used with my PCB (Wireless Gateway). The antennas that will be used with my PCB are Pole Mount Antenna. There are three different types of Antennas needed with my PCB: 4G LTE, GPS and LoRa Antennas. Currently, I am using SMA PCB Connector. I want to know how to connect shielding of these connectors. Should I connect it to the enclosure's shield or to the ground (for RF)?
ESD protection should not be needed as the receiver/transceiver modules should already have build-in ESD protection. Any ESD protection you add will influence the matching between Antenna and Module resulting in reduced sensitivity and/or transmitted output power. It is a much better approach to just make sure that the metal parts of the antennas cannot be touched, for example by using an antenna that sits inside a plastic housing. Then you don't need extra ESD protection and you can rely on the module's build in protection.
All you can do here is make sure that the mast / pole you're using is conductive and well earthed. Then also make sure the mast/pole is the highest point.
But even then, if lightning strikes the mast / pole directly it is simply a matter of luck if your receiver modules will survive or not. A lightning strike can be so powerful that it can rip out the mains wiring from a wall. There is simply no way that you can reliably protect sensitive low power electronics from that.
I would not connect the shielding of the connectors to the metal case. I would only connect the metal of the case to the supply ground. Connecting the RF side can interfere with the reception as it is a sensitive point so I would not do that.