The best check is to try to actually download the file.
"Internet" is hardly a real thing that you can connect to. So it's hard to test, if you are connected to "Internet". You actually do not need a connection to "Internet", you need a connection to your server. So test that.
See also
An equivalent implementation in Inno Setup would be like:
function InitializeSetup(): Boolean;
var
WinHttpReq: Variant;
Connected: Boolean;
begin
Connected := False;
repeat
Log('Checking connection to the server');
try
WinHttpReq := CreateOleObject('WinHttp.WinHttpRequest.5.1');
// Use your real server host name
WinHttpReq.Open('GET', 'https://www.example.com/', False);
WinHttpReq.Send('');
Log('Connected to the server; status: ' + IntToStr(WinHttpReq.Status) +
' ' + WinHttpReq.StatusText);
Connected := True;
except
Log('Error connecting to the server: ' + GetExceptionMessage);
if WizardSilent then
begin
Log('Connection to the server is not available, ' +
'aborting silent installation');
Result := False;
Exit;
end
else
if MsgBox('Cannot reach server. Please check your Internet connection.',
mbError, MB_RETRYCANCEL) = IDRETRY then
begin
Log('Retrying');
end
else
begin
Log('Aborting');
Result := False;
Exit;
end;
end;
until Connected;
Result := True;
end;