I think interconnected worlds can be fascinating in just giving a sense of this being a coherent universe. But I do not think I would be a fan of having to go back and forth between levels constantly just to get some jiggies. Maybe 1 per level that requires backtracking would be fine, but I don't know exactly how many there were in Tooie that required backtracking.
Now, I will say that I doubt there will be interconnected worlds in Yooka Laylee based on the premise of using story books to collect pagies. Unless there is some way to explain how you can travel between books, within the books, I don't think it's going to happen.
I can understand casual events between books. Say you're in Book A, and you get a few pagies to unlock Book B. That's cool. There's this high up indent in a cliff that you can't reach in Book B. Kind of weird, yeah? Well, to get there, you actually have to go to Book A and have a seed planted in Book A. Some NPC or just the hole you put the seed in spits out a Pagie. You return to Book B and wham! There's a tree.
Kind of complicates the collectathon though with some plot holes such as using those pagies you collected after unlocking Book B to unlock Book C - why would it have made a difference in B? But maybe we resolve that by making special Book-specific pagies, or we just ignore it, given the fact that we assume the pagies are preprinted and clearly would in the real world fit into a specific book anyway. They're magical pagies, like how Jiggies would conveniently work for any jigsaw puzzle.
Woaaaah, it finally came out!