As far as the overall story is concerned, Dig 2 is a direct sequel to Dig 1, where you’re looking for the protagonist (player character) from Dig 1. The events at the end of Dig 2 make clear why the situation in Heist is how it is. It’s not necessary to play the games in order; they all stand on their own pretty well.
I’m curious to see how Quest fits into this. Really looking forward to this being released on GOG.