Powering a MKR with regulated 3.3v I've a low power consumption regulator to get 3.3V from two 1.5V batteries.
I'm going to use it for powering an arduino MKR (MKRFOX1200), so my question is where I should connect it, to the battery connector or directly to VCC.

Looking at schematics it's not clear to me which is the best option in terms of power saving, as VCC seems better but I don't know if it's ok to use that pin to give power
You don't really need your regulator. That board has a connection (X1) intended for directly connecting two AA batteries (according to the schematic).

However, if you want to keep it regulated at 3.3V for other reasons (the MCU will happily run from as low as about 1.62V) then sure - use your regulator.  But just treat it like batteries regardless. Connect the output of your 3.3V regulator to the battery connector, which goes via the power switching and control circuitry to the 3.3V rail of the board.