Often it is not connected to anything. However for some it may be for the propane
solenoid switch on US boats, or the owners have attached another device to that circuit such as additional fridge bilge pump
. spot light etc etc.
If you have a battery monitor
you could try switching everything else off, then watch the monitor
as you flick AUX on and off, that might be a clue that it is wired to something that is permanently on or in standby mode, like a stereo system, TV antenna