Solch eine Verbindung ist in einem Baum nicht vorgesehen. Deshalb muss man sie von Hand reinmalen indem man die entsprechenden Nodes benennt und dann mittels `\draw[...] (B) -- (C);` die Linie setzt.
Bitte verwende in Zukunft [`\tikzset` statt `\tikzstyle`](http://tex.stackexchange.com/questions/52372/should-tikzset-or-tikzstyle-be-used-to-define-tikz-styles), ich habe Deinen Code mal angepasst.
    \documentclass{article}
    \usepackage{tikz}
    \usetikzlibrary{trees}
    \begin{document}
    \begin{figure}
      \tikzset{
        % Set the overall layout of the tree
        level 1/.style = {level distance=3.5cm, sibling distance=3.5cm},
        level 2/.style = {level distance=3.5cm, sibling distance=2cm},
        % Define styles for bags and leafs
        bag/.style = {text width=4cm, text centered,  inner sep=1pt},
        end/.style = {circle, minimum width=3pt,fill, inner sep=0pt}
      }
      \begin{tikzpicture}[grow=right, sloped]
        \tikzset{frontier/.style={distance from root=150pt}}
    
        \node {A}
        child {
          node[bag] (C) {C}        
          child {
            node[end, label=right:
            {$G (2,2)$}] {}
            edge from parent
            node[above] {}
            node[below]  {$s_{22}$}
          }
          child {
            node[end, label=right:
            {$F (4,1)$}] {}
            edge from parent
            node[above] {$s_{21}$}
            node[below]  {}
          }
          edge from parent 
          node[above] {}
          node[below]  {$s_{12}$}
        }
        child {
          node[bag] (B) {B}        
          child {
            node[end, label=right:
            {$E (1,4)$}] {}
            edge from parent
            node[above] {}
            node[below]  {$s_{22}$}
          }
          child {
            node[end, label=right:
            {$D (3,3)$}] {}
            edge from parent
            node[above] {$s_{21}$}
            node[below]  {}
          }
          edge from parent 
          node[above] {}
          node[below]  {$s_{12}$}
        };
        \draw[dashed,shorten <=4pt,shorten >=4pt] (B) -- (C);
      \end{tikzpicture}
    \end{figure}
    \end{document}
> ![alt text][1]
# Mit `graphdrawing`
Das ist doch schon viel handlicher. Benötigt LuaTeX.
    \documentclass{article}
    \usepackage{tikz}
    \usetikzlibrary{quotes,graphs,graphdrawing}
    \usegdlibrary{trees}
    \begin{document}
    \begin{tikzpicture}
      \graph[
      tree layout,grow=right,
      level distance=3.5cm,sibling distance=2cm,
      edge=sloped
      ] {
        A ->["$s_{12}$"] {
          B ->["$s_{21}$"] "$D(3,3)$", B ->["$s_{22}$"] "$E(1,4)$",
          C ->["$s_{21}$"] "$F(4,1)$", C ->["$s_{22}$"] "$G(2,2)$"
        },
        B --[dashed] C
      };
    \end{tikzpicture}
    \end{document}
> ![alt text][2]
  [1]: http://texwelt.de/wissen/upfiles/u_166.pnghttp://texwelt.de/wissen/upfiles/u_166.png
  [2]: http://texwelt.de/wissen/upfiles/v_22.png