Usually, we can find out bgp neighbor by seeing next hop by command "show bgp vpnv4 unicast all". By the next hop, we can know the bgp neighbor. However, this time when I use the next hop ip address to find out the bgp neighbor, the bgp neighbor does not exist. Is this bgp connection different with other one?
There is not enough information to answer your question.
Perhaps this BGP connection is using a loopback interface rather than a local interface address.
Try to use this command line:
sh ip bgp vpnv4 all summary
sh ip bgp vpnv4 all neighbors
it should show you all the information related to your bgp peers and their status.
Hope it is useful