You are speaking about database authentication, right?
For this you can do whatever you want and at the end of the day LLBLGen Pro will need from you the connection string which you can supply to the DbUtils.
The DbUtils class lets you set the global connection string to use for every connection to the database. This setting overrides the connection string read from the appSettings section in the .config file. Once the setting is set, every connection to the database uses the set connection string. You set the connection string to use at runtime using the following code:
DbUtils.ActualConnectionString = "Datasource=myserver;....";
If you want to make the application use the connection string defined in the config file again, simply set the ActualConnectionString property to string.Empty.
Just take care that this will set the connectionString globaly, which might not be what you want, so maybe you will need to switch to the Adapter model, to set the connectionString per call, so you can store each user's connectionString in a hashtable or something and use each user's connection string to perform his actions.