This is beginning to sound like the complains people had for Babel. "But...how does that story connect to this story?!"
The stories are connected thematically, not literally. As I said, the two leads are foils for each other - they're both believers (one believes in a fantasy world, one believes in a corrupt ideology) but one obeys without question, while the other occasionally disobeys (and this is the very thing that leads to her salvation), ect., ect. It's not really the kind of film you should watch and wait for it to answer your questions about why things are being shown to you.
The stories are connected thematically, not literally. As I said, the two leads are foils for each other - they're both believers (one believes in a fantasy world, one believes in a corrupt ideology) but one obeys without question, while the other occasionally disobeys (and this is the very thing that leads to her salvation), ect., ect. It's not really the kind of film you should watch and wait for it to answer your questions about why things are being shown to you.