I might have connected it to my laptop a while back before opening ledger live, but I don't remember what happened.
Nothing bad will happen. You can open Ledger Live before connecting and unlocking your Nano S, or you can connect your hardware device before firing up Ledger Live/Electrum. After you enter your PIN, you should hear that familiar USB sound which signals that connection has been established. The PIN activates your device and boots it up from its sleep mode (let's call it that). The order in which you perform those steps don't matter.