I watched a video that said the probability for Gaussian integers to be relatively prime is an expression in $\pi$, and I also know about $\zeta(2) = \pi^2/6$ but I am wondering what are more connections between $\pi$ and prime numbers?
Well, first of all, $\pi$ is not just a random real number. Almost every real number is transcendental so how can we make the notion "$\pi$ is special" (in a number-theoretical sense) more precise?
Start by noticing that $$\pi=\int_{-\infty}^{\infty}\frac{dx}{1+x^2}$$
This already tells us that $\pi$ has something to do with rational numbers. It can be expressed as "a complex number whose real and imaginary parts are values of absolutely convergent integrals of rational functions with rational coefficients, over domains in $\mathbb{R}^n$ given by polynomial inequalities with rational coefficients." Such numbers are called periods.
Coming back to the identity
$$\zeta(2)=\frac{\pi^2}{6}$$
There is a very nice proof of this (that at first seems very unnatural) due to Calabi.  It shows that
$$\frac{3\zeta(2)}{4}=\int_0^1\int_0^1\frac{dx\,dy}{1-x^2y^2}$$
by expanding the corresponding geometric series, and then evaluates the integral to $\pi^2/8$. (So yes, $\pi^2$ and all other powers of $\pi$ are periods.) But the story doesn't end here as it is believed that there are truly deep connections between values of zeta functions (or L-functions) and certain evaluations involving periods, such as $\pi$. Another famous problem about primes is Sylvester's problem of which primes can be written as a sum of two rational cubes. So one studies the elliptic curve
$$E_p: p=x^3+y^3$$ and one wants to know if there is one rational solution, the central value of the corresponding L-function will again involve $\pi$ up to some integer factor and some Gamma factor. Next, periods are also values of multiple zeta functions:
$$\zeta(s_1,s_2,\dots,s_k)=\sum_{n_1>n_2>\cdots>n_k\geq 1}\frac{1}{n_1^{s_1}\cdots n_k^{s_k}}$$
And they also appear in other very important conjectures such as the Birch and Swinnerton-Dyer conjecture. But of course all of this is really hard to explain without using appropriate terminology, the language of motives etc. So, though, this answer doesn't mean much, it's trying to show that there is an answer to your question out there, and if you study a lot of modern number theory, it might just be satisfactory :-).
