Deathloop is a weird one because it takes place in "a possible future" of the Dishonored series. The game is set about 130 years after the first two games on an out-of-the-way island outpost that's been completely cut off from the rest of the world via time nonsense, and while there's enough incidental detail for a Dishonored fan to make the connection, Deathloop itself goes out of its way to avoid namedropping anything from the earlier games.
More games should do the Disco Elysium/Deathloop thing of pretending that they're in our world before gradually revealing that it's a constructed world that has fuck-all to do with our world