Does the database connection have to be set inside a TransactionScope?

Or can I set it in the ctor and then have instance methods create up a TransactionScope?

EDIT: e.g.

Public Sub New()
   Dim conn = new SqlConnection(...connection string)
Public Sub SomeClassMethod()
   using ts as new TransactionScope
      //conn has already been initialized
      //so, here you can set commands, ExecuteDataSet, etc.

vs

Public Sub New()
   //nothing here
Public Sub SomeClassMethod()    
   using ts as new TransactionScope
      conn = new SqlConnection(...connection string)
      set commands, ExecuteDataSet, etc.

the question is do you need to create the connection to the database after you've created a TransactionScope or can it be done before?