Can I break my BLDC motor by connecting an ESC in the wrong way?
If you aren't using the Hall sensors, then you can hook up the three drive wires any way without causing damage.  Of the six possible choices, 3 will drive the motor one way for "forward", and the other three the other direction.  The three choices within each direction are then essentially equivalent.

If you are using the Hall sensors, then you do need to hook up the drive lines in a way that matches the Hall inputs.  If you get it wrong, the motor could be driven to a fixed angle and then stop.  The motor will dissipate power as if it were being driven normally but stalled.

At low power, that should cause no damage.  At full power, it could overheat the motor, depending on whether the motor is rated to handle the full stall current indefinitely or not.