If no card is discarded, most likely because that player's hand is empty and an effect says they can't draw cards, the conniving creature does not receive a +1/+1 counter.

The target permanent to return is chosen after Psychic Pickpocket connives.

Once an ability that causes a creature to connive begins to resolve, no player may take any other actions until it's done. Notably, opponents can't try to remove the conniving creature after you discard a nonland card but before it receives a counter.

If a resolving spell or ability instructs a specific creature to connive but that creature has left the battlefield, the creature still connives. Abilities that trigger “when [that creature] connives, such as that of Psychic Pickpocket, will trigger.

If a resolving spell or ability instructs a specific creature to connive but that creature has left the battlefield, the creature still connives. If you discard a nonland card this way, you won't put a +1/+1 counter on anything. Abilities that trigger “when [that creature] connives” will trigger.