First, decide on a common theme or setting. For example, if your theme is 'lost love', all your short stories can explore different aspects of this. Then, create recurring characters. They don't have to be the main focus in every story, but their presence ties the stories together. Also, think about how the events in one story can have an impact on another, either directly or through a ripple effect.
One good example could be 'The Canterbury Tales'. In this collection, a group of pilgrims each tell a story during their journey, and these stories are connected by the overarching frame of the pilgrimage. Another example is 'Arabian Nights', where Scheherazade tells a series of stories night after night to the king, with some stories having connections or references to others within the collection.
All stories are connected by the fact that they are all attempts to communicate something. They might be sharing cultural traditions, passing on wisdom, or simply entertaining. They can also be connected by the characters' motives. Most characters in all stories are driven by basic desires like the need for acceptance or power. This common thread of motivation runs through many different stories.
American Horror Stories are somewhat connected. They might have different settings and plots, but there are underlying connections in terms of the horror genre tropes and recurring motifs. Sometimes, characters from one season might make cameos or have an influence on other seasons.
True detective stories can be connected. Sometimes it's through a common location, similar criminal patterns, or even the same detective working on multiple cases.