It's just bare copper wire out of the coax. Can I not just put the wire directly into the scanner without a connector?
You'll need to know what type of coax when you order your connector. The connector size must match the coax size or things will not work right. Also, not all connectors will work with all types of coax. You may need to get one kind of connector on your coax and an adapter to fit your scanner. For example, an SMA connector is quite small so there may not be room for a large coax to make a good connection so you may end up using a larger BNC connector on the coax and an SMA to BNC adapter to finish the connection to your scanner.
You must use a connector on the end of your coax to make a good connection with your scanner. Failing to do so will give you much less signal, much more noise, and generally make things work worse with your external antenna than if you would've simply used the original antenna connected directly to your scanner.