Why won't it connect to your MacBook? What exactly happens?
It won't connect over ethernet if that is what you are attempting. It needs to be connected over USB and restarted in DFU mode.
click here ➜ If you can't update or restore your iPad - Apple Support
- Press and quickly release the volume button closest to the top button. Press and quickly release the volume button furthest from the top button. Press and hold the top button.

- Keep holding the top button until you see the recovery mode screen:

Also, why can't you remove lost mode directly on the iPad? You should be able to enter the passcode on it to remove Lost mode. If you turned on "Stolen Device Protection" you may need to verify with Face ID or Touch ID.
click here ➜ Use Lost Mode in Find Devices on iCloud.com - Apple Support
If something else is happening, then please explain what that is.