How do I troubleshoot loss of connection with SQL server
Definitely have a look at the NT and SQL logs... and if you were running on SQL Server 2008 or later, check the ring buffers DMV for a few extra clues. Do you have any monitoring tools that you can increase the sample rate with, to add evidence the problem is maybe with the Citrix Xenapp delivery?

Ring Buffers:
http://blogs.msdn.com/b/sql_protocols/archive/2008/05/20/connectivity-troubleshooting-in-sql-server-2008-with-the-connectivity-ring-buffer.aspx

Kendra Little did a good introduction video on troubleshooting query timeouts, not quite the same as connection timeouts.
http://www.brentozar.com/archive/2011/07/mystery-of-query-timeouts-video/