A connector secures an ESP to coiled tubing containing a power cable. Upper and lower barriers in the connector housing define an upper chamber, a lower chamber, and a center chamber. An upper chamber dielectric fluid in the upper chamber is in fluid communication with the interior of the coiled tubing. A lower chamber dielectric fluid in the lower chamber is in fluid communication with motor lubricant in the motor of the ESP. Center chamber dielectric fluid in the center chamber is sealed from contact with the upper and lower chamber dielectric fluids by the upper and lower barriers. A thermal expansion device has a container portion for allowing center chamber dielectric fluid to expand into the container.