How can we connect the fifth installment with the previous games in the series?

As an option, you could mention those who went to another world... I mean, to Axeoth... and you could create a campaign that connects them... something like that...

By the way, you can connect the fifth game with the third and the fourth... someone came from one world, someone from another...

Yes, it's probably better to mention it - well, at least write a small chronicle. And then, when everything is done, you can even return and describe the events in Axeoth in more detail.