First we partition $\mathbb Q^2$ into $n$ dense subsets $A_1, \ldots , A_n$ and fix an enumeration $a_{i,1}, a_{i,2}, a_{i,3}, \ldots $ for each of set $A_i$.
As a starter, assign colour $i$ to $a_{i,1}$, that is let $S_i^{(1)}=\{a_{i,1}\}$.
Assume we have the following situation:
$m\in\mathbb N$ and we have pairwise disjoints sets
$S_1^{(m)}, \ldots , S_n^{(m)}$, where each $S_i^{(m)}$ is a polygonal curve from $a_{i,1}$ to $a_{i,m}$ with $S_i^{(m)}\cap \mathbb Q^2 = \{a_{i,k}\mid k\le m\}$.
Then the complement $\mathbb R^2\setminus \bigcup S_i^{(m)}$ is connected and open.
For $i=1, \ldots , n$ we will append a path to $a_{i,m+1}$ as follows:
First observe that the set
$$X=\mathbb R^2\setminus\left(\bigcup_{j
When we have done this for all $i$, we have obtained the situation described above, but with $m$ replaced by $m+1$.
Now let $$S_i=\bigcup_{m\in\mathbb N}S_i^{(m)}.$$
Then $S_i$ is pathwise connected (any two points are connected in some $S_i^{(m)}$) and is dense in $\mathbb R^2$ because $A_i\subset S_i$.
However, I must admit that we do not have $\mathbb R^2=\bigcup S_i$ yet, i.e. the set
$$Y=\mathbb R^2\setminus\bigcup S_i$$
need not be empty.