The connection that Penrose is referencing is called the Maurer-Cartan connection, defined by the Maurer-Cartan form $\theta\in\Omega^1(G,\mathfrak{g})$. The assertion that the connection has no curvature is known as the Maurer-Cartan equation, which states that
$$d\theta+\frac{1}{2}[\theta,\theta]=0$$
Edit: The Maurer-Cartan form is defined in the most natural way you could imagine, since we have a group structure on $G$. Denote left multiplication with $g$ by $L_g$, which is a map $G\to G$. We define the $1$-form as $\theta_g(v):=dL_{g^{-1}}v\in T_eG=\mathfrak{g}$, which gives rise to a Lie algebra valued $1$-form. This allows us to identify the fibres of the tangent bundle with one another, which is equivalent to the data of a connection which we denote $\nabla$. A vector field $X$ is called "parallel" or "horizontal" along a curve $\gamma:I\to G$ if it satisfies
$$\nabla_{\dot{\gamma}}X=0$$
The way in which one might think about this geometrically, is as follows. On Euclidean space, it is quite clear when we should call a function flat in a certain direction: when its directional derivative vanishes. However, on vector bundles over manifolds, there is generally no canonical way to choose a directional derivative, i.e. a way to differentiate sections along vector fields. This is what a connection does. The way we can think about parallel sections, then, is by thinking about them as being constant with respect to the chosen connection.
On a Lie group, we have a canonical way of choosing such a connection, because the (left or right) invariant vector fields give us a trivialisation of $TG$, and this connection is the Maurer-Cartan connection. Perhaps even more concretely, the connection is defined by declaring that the invariant vector fields are its flat/parallel sections. The connection is determined by this, using the Leibniz rule and the trivialisation of $TG$ by invariant vector fields. Note: the Maurer-Cartan connection typically does not coincide with the trivial connection on a trivial bundle $G\times\mathbb{R}^k$, although both connections are flat. For example, work out the cases $G=(\mathbb{R},+)$ and $G=(\mathbb{R}_{>0},\times)$, which are isomorphic as Lie groups. Draw the flat sections, as functions $f:\mathbb{R}\to\mathbb{R}$ in each case.