One of the safes in the bank belongs to Morgan Yu. Morgan Yu is the name of the protagonist in Prey, from the same developers.
On the roof of the bank, you can find a sword stuck in a bonfire. This is a reference to the Dark Souls series.
There is a letter that alludes to Granny Rags/Vera Moray from the first Dishonored.
If you don’t steal the painting in the first mission, Daud will steal it himself once he’s free.
The lockbox code for Luigi Galvani is 287, the same code used for the safe in Dr. Galvani’s house in the first game.