I realize that now is a busy time, but I was working on a playlist for non-canon and alternate universe songs from mothy and working out how to classify them on my google doc when I noticed this.
Both wendy and watching us have as much connection to canon as desert bluebird does, but desert bluebird has a page while they don't.
In the Court of Greed album (X) the lyrics for the individual songs are surrounded by the emblem for the country that the song took place in. desert bluebird has lucifenia and wendy has marlon
The Muzzle of Nemesis album (X) has a similar situation. The lyrics page for each song has a small number at the bottom of the pages counting down the years to the end of the third period, with Watching Us being the oldest at -4213 and Master of the Hellish Yard of course being 1
We may not know their exact connection to the series but we know that wendy takes place in marlon and that watching us takes place 4213 years before Hellish and takes place before Blood Stained Switch (who's number is -2012). So they have a connection to the series even if we don't fully understand what that connection is.