RDP is the protocol that is used by Microsoft Remote Desktop or MSTSC (Microsoft Terminal Services Client). The parameters for the latter programs can be set in an .rdp file. A connection string could not be used to specify parameters to these programs as they are not any kind of connectors or databases for Qlik to use.
Here is the documentation on parameters and .rdp files:
You should be able to have drives from the RDP session accessible but I don't see how you can connect to a database directly from your load script to a database even if you have RDP sessions established.
You should try to get a database login on each of the databases with the same login/username/identity as you would have for the RDP sessions and use a regular database connection from your load script. Then the login credentials could be saved and handled in the connection string.