Where to connect TVS clamping Diodes
There is no general answer to your question. But from your comments i get that you need to protect from ESD events and EMI. 

In that case you should place the ESD protection first, i.e directly at the connector, because in general, an ESD event has much more harmful potential than EMI. 

BTW, ESD protection diodes have some internal capacitance which provides filtering for high frequency EMI sources with high source impedances.