When you click the Connect Pull Zone button you'll be presented with a pop-up dialog that looks like this:
Simply click on the big orange button marked Add Pull Zone. That will take you to this page:
On the add pull zone screen, enter in whatever name you want for the CDN domain. You can add your own domain later on, for now you'll want to use the XXXX.b-cdn.net domain that Bunny provides.
Make sure that Origin Type is set to Storage Zone and that Storage Zone is set to the storage zone we made in the first step.
Select any other options you want and then scroll to the bottom and click the big orange Add Pull Zone button.
After you've clicked Add Pull Zone and your pull zone has been created, you'll see this screen:
In the Linked Hostnames copy the domain name as we'll be using it in the next step.