Keep in mind that Cloudflare is a complex stack of proxies. When a worker performs a fetch(), that request has to pass through a few machines on Cloudflare's network before it can actually go to origin. E.g. to implement caching we need to go to the appropriate cache machine, and then to try to reuse connections we need to go to the appropriate egress machine. Point is, the connection to origin isn't literally coming from the machine that called fetch().
So if you call fetch() twice in a row, to the same hostname, does it reuse a connection? If everything were on a single machine, you'd expect so, yes! But in this complex proxy stack, stuff has to happen correctly for those two requests to end up back on the same machine at the other end in order to use the same connection.
Well, it looks like heuristics involved here aren't currently handling Workers requests the way they should. They are designed more around regular CDN requests (Workers shares the same egress path that regular non-Workers CDN requests use). In the standard CDN use case where you get a request from a user, possibly rewrite it in a Worker, then forward it to origin, you should be seeing connection reuse.
But, it looks like if you have a Worker that performs multiple fetch() requests to origin (e.g. not forwarding the user's requests, but making some API requests or something)... we're not hashing things correctly so that those fetches land on the same egress machine. So... you won't get connection reuse, unless of course you have enough traffic to light up all the egress machines.
I'm face-palming a bit here, and wondering why there hasn't been more noise about this. We'll fix it. Talk about low-hanging fruit...
(I'm the tech lead for Cloudflare Workers.)
(On a side note, enabling Argo Smart Routing will greatly increase the rate of connection reuse in general, even for traffic distributed around the world, as it causes requests to be routed within Cloudflare's network to the location closest to your origin. Also, even if the origin connections aren't reused, the RTT from Cloudflare to origin becomes much shorter, so connection setup becomes much less expensive. However, this is a paid feature.)