Outside of some hints it's really hard to build this mosaic, assuming there is a mosaic in the first place... Yes, there is the Shinra guy in X world and probably the underwater lab in FFVIII is remnant of FFIII floating continent (also the whole thing about Hyne) but outside of these few things they are not easy to guess...
I think that finding the connections between FFs would boost the games charm a lot and it wouldn't be bad to have an Ultimate Ultimania (hahaha so to say) to reveal those connections!
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