Doubt it. They converged some in Arena, but honestly, they want the new installments to be interesting to newcomers, and not convolute them by forcibly linking them to previous titles. While I personally believe everything wrong in the whole series is Nyarlathotep's doing, I don't think there's a need to really bring that into the forefront of the story. P5 doesn't look like anything we;ve seen yet, and I expect it will be as seperate from 3 and 4 as 3 and 4 are from 1 and 2.