While completely feasible from a technical standpoint, I don't trust SE to be able to integrate it properly. They have consistently shown a rank incompetence when it comes to technical matters.

Also, I don't believe it would serve to make the world feel more connected, speaking personally. FFXIV 1.0 also benefited from the fact that teleporting wasn't a trivial task; it cost Anima rather than Gil, and prior to Hamlet Defense, it recovered at a rate of 6 / day. Considering an individual teleport could cost that much, people often made an elective choice to run through the world rather than teleport to a location.

FFXIV 2.0 eliminated all that, and it would render a connected world somewhat pointless. The convenience of travel is what really killed the feel of a seamless and integrated world. FFXI, for instance, felt very much connected to me, despite having zone lines; the reason was because travel was more difficult, and required a more intimate knowledge of individual zones than what we have now.

All this to say, I neither trust SE to be able to competently pull it off, nor do I think it would improve the feel of FFXIV.