Any suggestions to improve my PDO connection class?

When implementing a "Factory" usually it is so that other classes, methods, etc using it don't have to know or care about the connections, usernames, passwords, etc.

I would do it something more like:

static class PDOConnectionFactory {
    // database
    private $dbType = "mysql";

    // connection parameters
    private $host = "localhost";
    private $user = "user";
    private $senha = "password";
    private $db = "database";

    // new CreateNewConnection( true ) <--- persistent connection
    // new CreateNewConnection()       <--- no persistent connection
    public function CreateNewConnection($persistent = false) {
        try {
            $con = new PDO($dbType . ":host=" . $host . ";dbname=" . $db, $user, $senha, array(PDO::ATTR_PERSISTENT => $persistent));
            // carried through successfully, it returns connected
            return $con;
        }
        catch (PDOException $ex) {
            // in case that an error occurs, it returns the error;
            echo "We are currently experiencing technical difficulties. We have a bunch of monkies working really hard to fix the problem. Check back soon: " . $ex->getMessage();
        }
    }
}

Then you use the connection returned by CreateNewConnection() in whatever way you need.

I didn't check if the above code compiles, there could be a few typos/issues, but you get the idea. Now you need to take it a step further and implement something like the repository pattern :)