It's not really a link in the lore. It's more of like how Graves and Nocturne work. I can't remember exactly what they say but when graves lands a smokescreen on nocturne he says something like 'How do you like the darkness'. It's more of a pun or joke than anything. Not really a lore link but it links their abilities in a bit of a jokey way.

yes they do. look at volibear and zilean. look at graves and nocturne. they do this sometimes to make a little easter egg
not really seems pretty cut and dry
the only mystery is what the black sludge was
thresh is ghostly not black sludge
if it was an appirition that dragged him down then maybe but sadly no because ghost at sea go hand in hand but this wasnt a ghost and was: some ancient creature, rogue magic, a mixture of the 2, or even toxic waste
who knows but it definitly wasnt a ghost