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I guess The Island and the afterlife don't have any real tangible connection, aside from the story and characters. That's like questioning what kind of connection there is between the island and all of the other flashbacks and flashforwards though.
Story and character.
On a much larger scale, I would say the fact that the Island is destiny and the grand source of all life/death is more than enough connection with an undefined spiritual afterlife. I think it's safe to say whatever all powerful force the island is part of, is also connected with life after death.
Everything they did in life (particularly on the island) is what led up to their afterlife. Everything in their life led up to The Island.
That's like asking what connection our lives as human and the world as we know it have with the afterlife (if there is one.)
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