Cult and Freak Show
While this connection is tenuous at best, there's still a good way to reconcile it. In the first couple of episodes of Cult, we reconnect with Twisty the Clown, better known as one of Freak Show's terrifying villains. In Cult, Ally and Ivy's son, Oz, has comic books featuring Freak Show characters; they're part of a series called Twisty the Clown Chronicles. Oz even dreams about Twisty and later gets an action figure from Winter.
While Twisty doesn't actually appear in the flesh, the events we witness through the lens of the comic book are almost exactly what happens in the actual season. Combine that with the fact that the same exact characters appear, and it basically means that the events of Freak Show did happen in the universe of Cult. In fact, the details of those murders are so well known, it was easy enough to turn them into literature.