You can do
cn.Close : cn_cu.Close
Set cn=nothing : Set cn_cu=nothing
(Note the : colons in there)
But that saves you nothing at all. A RETURN character eats no code once the code is compiled and running.
On the other hand, you can simplify the heck out of the rest of that:
Set cn = Server.CreateObject("ADODB.Connection")
And there's no need to set cn to Nothing. Waste of coding.
The really ugly part of the code, there, is the use of DSNs. DSN connections are older, slower, and more error-prone than DSN-less connections.