If the concern is code, then you aren't allowed to make ANY connection outside of a junction box. Marine connections are good for salty environments, but keep in mind that they are mostly rated for low-voltage DC systems (12, 24, and 48V). I don't know what the voltage and currents are for the MH wires between bulb and ballast.
Is this connection being made inside the ballast housing? If so, I believe it's code to use ring-terminals or spade connectors. These crimp or solder on. They are often found inside motor housings.
If the connection is being made under the canopy, I'd install a small PVC weatherproof junction box, or even an access box (not approved for connections, but used for pulling wire). They're smaller, and might fit in a smaller canopy.
My first priority would be keeping the connections dry, and making them secure. Loose or corroded connections create heat, which can start a fire.
Adhesive shrink tube is good stuff for marinizing your connections, as is "Liquid Electrical Tape". If you're buying shrink tube, make sure you're getting the adhesive-lined stuff. Most of the stuff in radio-shack or HD is not adhesive lined, and is not useful for keeping water out.