I never play as though most of the worlds are near each other, because most of them have such distinct visual styles that I can't pretend otherwise. To me Windenburg looks like it's in a European country, Oasis looks like Southwest USA and Brindleton looks like a mix of Northeast and Northwest USA.
On the other hand, I can easily connect Willow Creek, Newcrest, Magnolia Promenade and San Myshuno. You can see a city in the background of the first three worlds, and there are shared trees and plants in all four (especially the park in SM) that make it look as if the first three are suburbs of the fourth. That's how I play them in terms of connectivity.
