The way the Void in this game is set up is a mix of both the Interdimensional Rift of FF5 and the World of Darkenss of FF3. In 1.0 mobs that were literally called voidsent would come out of portals where the aether energies were imbalanced. In the later part of 1.0 Atomos would appear over certain Aetherytes at camps and drain them of their energies returning that back to the void. So it's akin to how crystals are used to summon primals into this world and then when defeated they go back into the aetherflow. However the void has the ability to drain that aetherflow into it's own world. And now we have CT with Cloud of Darkness verifying the void for the world of darkness exists. Also we don't know how big that world actually is. Shantotto was saying she ripped open a vortex with her magics and wound up in Eorzea it seems that anyone who posses knowledge of black magic can open a portal. THM's and BLM's in FFXIV via NPC's and lore history have been known to open up portals to the void. Hence why they aren't so keen on letting just everyone join up. And now with Gilgamesh and Enkidu (the real one not the chicken) both in our world and knowing how Gilgamesh was lost in the Void after being Banished there must have found a way to be able to freely access and enter and leave when he deems fit to do so. So the void theory is the only one that can make sense of being able to have interdimensional travel since the void was the beginning of all things and the crystals were born from the void. When the crystals were born they created their own worlds. This is one of those worlds.

The only real connections in FF tho that have a lot of lore and connection to it is the Ivalice theory.