As you alluded to, the best way to start is to find out why the Service Engine Soon light is on. One obstacle you will run in to however, will be that of scanning the code, as you have already determined. In 1994, GM, in their infinite wisdom, used OBD 1.5. Essentially a OBD 1 computer, OBD 1 code set, with an OBD 2 plug. You need a scanner that can read OBD 1.5 codes. Your cheap scanners are going to be incapable of reading such, likely explaining the issue of the scanner not connecting.
Now, the PCM may very well be going bad, in all honesty that was not exactly a strong suit of the 94/95. I wouldn't call it dead just yet though, until you know what is going on with it.