Learn what "but it might be connected to what's happening" means, when people say it, and how to use it naturally in English.

This means the speaker thinks something may be related to the current situation.
From The Haunted Sisters, Episode 22
Someone is suggesting that a possible clue may be linked to the current events.
Use this when making a tentative connection between clues or events. It is useful in discussion, but not strong enough for a dedicated phrase page.
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