As a lambda lives for a period of time you can create a pool for that individual lambda. That pool lives for the life of the lambda.
Now for things like HTTP clients this is generally OK.
If you have a Postgres pool etc, it's not ok. Postgress doesn't like lots of connections and you will have POOL_SIZE * NUMBER_OF_ACTIVE_LAMBDA connections.
So unless you limit the number of Lambda's you have using reserved capacity Lambda's are simply not a good fit for running a PG pool locally inside the lambda for web stuff.
If you have a batch job, that runs once a day, with a single lambda, inserts a bunch of records in to postgres or similar, then a small pool in the lambda is fine.
So a lot depends on what you are doing in the lambda, how many you have, what your downstream service you are connecting to us.