Well, officially they are somewhat related in that they're all Shezzarine (or at least the protagonists from the last three games are Shezzarine), meaning that they're all incarnations of the dead god Lorkhan sent to Nirn during crises to ensure its survival. Otherwise, any further connection that they might have, such as being related by blood, are entirely up to you and your backstory for those characters. I personally have three Khajiit characters in Morrowind, Oblivion, and Skyrim all named Nihil, who I like to think of as being part of the same family of career adventurers. Why that family would have such a penchant for birthing powerful god-warriors, I couldn't say say, but that's their story and I'm sticking to it.