In volume 1 of the Return to Labyrinth manga, Toby follows a small goblin into a TUNNEL that magically appears in his closet.  Later, at a ball, Matt shows up in a cameo.  The author seems to like the idea they are connected.  Here are my thoughts:

Connecting Fraggle Rock to the Labyrinth shouldn't be that hard since ditzies can create new tunnels that can go anywhere outside time/space limitations.  Return to Labyrinth also makes it look more like Neverending Story in the sense that many magical areas are connected.  I think it could be possible for the Forest/Bog of Eternal Stench could lead to the Swamp bordering the Gorg's Garden property.  The Fire Gang kinda reminds me of hyper and violent Fraggles who can dismember themselves.  Wander McMooch seems more like a Labyrinthine character than a FR character ... and he lives in the swamp.  There are two frog-like beings toward the end of Return to Labyrinth vol 2.  Maybe they're relatives of McMooch, though in a general kinda way.  Maybe Gorgs and Yetis (Ludo) are two subspecies of the same general idea as well.  Didn't the Gorgs say they had to wander the universe until they founded their home in the Garden?  When Jr goes to search the "universe" for Geraldine, he only really explores a part of the neighboring swamp.  Perhaps Gorgs lost their stone-summoning ability in exchange for "civilization".  On my youtube page (imjessietr29), I explore the possibility that Jareth (or a predecessor) may actually be Sir Hubris.  If the Gorg's Garden does border the Labyrinth, perhaps the Goblin King took a Yeti, made him a vassal king (perhaps it might be a buffer state between the Laybrinth and Mizumi's kingdom or something), King Gorgous (sp?) the Great.  Maybe it's also possible that Marjory could be a fully transformed Junk Lady, but with a better attitude.  In fact, I'm dying to know Marjory's backstory ... maybe they might reference something in the movie, if they ever bother to come out with it.