Heinlein's future history, an entire timeline of stories that all dovetailed into one, continuous universe, was one of the first, if not the first, out there, and those are some of the first stories in it. Now, of course, there are hundreds, if not thousands of them.
The man who sold the moon is a short story, but there are, if I remember correctly (and it's more than forty years since I read it) there are references in it to "Blowups happen", and references to it in "Methuselah's children", and a whole network of minor, almost irrelevant links between the shorts and novels, while leaving each one readable in isolation. Remember, these stories will have been first published in magazines, primarily "Astounding/Analog", and collected later, so they weren't conceived to work as a continuity – except that they were.
Calling a collection of short stories by the title of one of them was quite common back then, and is still far from being unknown.