Integration with Home Assistant

reconnect to the previous device if the watch has a BLE connection before the advertisement

You can't - it's up to the phone/etc to reconnect, the Bangle can't do anything to force it I'm afraid.

The Bangle could disconnect and then use NRF.setAddress to change its address such that the phone thinks it has gone out of range. Then, maybe when it set its address back to the original the phone would see it and try and reconnect