The first season of
Fargo (the only one I've seen, mind you) does connect to the Coen Brothers' film:
Spoiler
The money that is buried in the movie resurfaces in the show.
I can't yet speak for later seasons, or for
Legion and any direct connections that may or may not have with the various
X-Men movies.
As for this show, it seems like it is being pretty directly billed as a story set before
Alien, and thus placing it within the same continuity as the films (albeit with no direct word yet on whether it is running parallel to [and retconning parts of?] the prequel films, or flat out knocking them out of continuity), but outside of the presence of the Aliens (and maybe Engineers/Space Jockeys?) and Weyland-Yutani, I can't imagine anything in this late 21st century Earth setting that would directly link up with events, characters, etc. from the original film.