For now, you can try 2 things:
1. USB Tethering connection
If your phone supports USB tethering, you can try to establish a private network connection via USB tethering and connect spacedesk over it.
For instructions, please check the Performance Tuning -> Network Bandwidth -> USB Tethering chapter in the user manual.
2. Android Debug Bridge Cable connection
For instructions, please check the Performance Tuning -> Network Bandwidth -> Android Debug Bridge Cable chapter in the user manual.
FYI: Native Android USB cable connection is not yet supported.
But will soon be available in the next few months.