There are hints that certain games in the series are related to other games in the series. But not all are related to each other. Like said, FF9 has suggestions toward FF1, that could just be one game giving harald to the last since FF9's whole point was to look back on the past in the franchise. Though it has also been noted that FF4 and 6 are related (Something to do with GoGo? I think. He was an enemy in 4? I never faced him, but that's what I've been told). Then there's I guess a hint in FFX-2 about the beginning of Midgar I think so the X ones are "possibly" related to 7. But really I think it's mostly just easter eggs and brain teasers. I doubt they SERIOUSLY intended any of the world to be related to any of the others (X and X-2 excluded of course. And the Tactics and such).