Well I'm not sure ahaha ^^;
But if you play the games, they are interconnected somehow, specially Heaven's Gate and all.
Oh just saw Wiki again
In the unveiling article for Knights in the Nightmare, it was explained that the worlds share a common Asgard, but no further details on their relations were explicitly given. In a later Dengeki Maoh article it was revealed how each game interacted in the Universe, each initially taking place on the overworld and being connected in some way to either Asgard or the Underworld.
Regardless, many connections can be drawn between Yggdra Union and Riviera, with Grim Angels, the World Tree, Fanelia and Heaven's Gate appearing in both.
For those who are curious:
Bleh (Click to reveal)Here is Episode 1: Riviera The Promised Land (GBA and PSP)
Yggdra Union is Episode 2 (GBA and PSP)
This is Yggdra Union English Trailer:
This the official one
And I need to buy a DS and PSP

The sad thing is YU PSP English and Knights In The Nightmare almost have the same release date XD both in September.
edit: I always thought that FF games are settled in one world called "Gaia" o.o