The Fauna Shell allows users to connect to different instances of the Fauna database by introducing the concept of endpoints. Endpoints can be easily managed using commands such as `add-endpoint`, `list-endpoints`, and `delete-endpoint`. Users can create multiple endpoints, each with its own alias, and select a default endpoint for the shell to use when connecting to the database. The endpoint configuration is stored in an `ini` file in the user's home folder, providing a simple and readable format. This feature simplifies the process of working with multiple Fauna instances and databases, making it easier for developers to manage their connections.