Counting Crows' "Rain King," from their debut August and Everything After, goes in part:
I belong in the service of the queen I belong anywhere but in between She's been lying, and I've been sinking And I am the Rain King
I'm not here to parse Adam Duritz's meaning, but to look at the way he echoes that language in "Goodnight Elisabeth," from their sophomore effort, Recovering the Satellites:
If you wrap yourself in daffodils I will wrap myself in pain And if you're the queen of California Baby I am the king of the rain
This is the kind of in-universe connection you'd usually see in movies, TV, or books. Off the top of my head, a number of Stephen King novels make mention of events or people in his Dark Tower series, in effect turning a large amount of his work into one connected (if occasionally ungainly) body. Or there's the way Richard Belzer's Detective Munch appeared on "Homicide: Life on the Street" and then "Law & Order: SVU," cementing those two separate shows as existing in the same world. (And you can, of course, go farther down the rabbit hole with Tommy Westphall.) One of my favorite movie examples is a small one: Michael Keaton as FBI agent Ray Nicolette in 1997's Jackie Brown and 1998's Out of Sight. The films have different stories, directors, and casts; he's the only link.
For some reason, though, it feels rarer for such crossovers to happen in music. It also feels more special, and I think that's because music is such a personal experience. We watch movies together, and we even watch TV together, but we listen to music by ourselves. It's in our ears, or our car, and it becomes a soundtrack to our own lives. So little grace notes that connect songs across albums feel like gifts for listeners and fans, ways for you to feel connected on a deeper level. They just have that beautiful little spark.
The Refreshments have some, too. They only put out two albums before their label dropped them, and 1996's Fizzy Fuzzy Big & Buzzy and 1997's The Bottle & Fresh Horses feel like narrative complements to each other. The first one's about relationships coming together, the second's about how they fall apart. The first album's "Down Together," a love song about being in it for the long haul, says:
Cars break down and People break down and Other things break down, too So let's go Down together, down together, down together Let's go down
The follow-up album's "Fonder and Blonder," a bittersweet break-up tune, goes:
Cars break down and People break down and Other things break down, too I felt something slip when you left on your trip And now I think I'm breaking down on you
You don't have to know the first song to get the meaning of the second, but it helps. At any rate, it gives the second one more punch to connect it to the happier character of the first song and to wonder about the path he took to get where he is. John Mellencamp did the same thing with "Jack and Diane" and "Eden is Burning," which charted young love and its apathetic decline.
I'm trying to find more examples, but I'm not even sure what this would be called. These aren't just songs that reference other songs, but multiple songs by the same artist that reference each other. Song worlds? Song universes? Anyway, you get the idea. If you have any more examples, I'd love to hear them.