Unlikely. Generally, only within-company games are considered to take place in "the same multiverse but different dimensions." (I mean, they can't really be connected if completely different people write the stories for each one, right?) So Myth might be in an "alternate dimension" from the Marathon universe (there're about 10,000 theories about this), but it's not going to be in an "alternate dimension" from, say, the land of Oz. Unless someone with authority (not a fan but one of the original creators or their heirs) writes a story or a game which connects the two.
: We know that in the world of myth they belive on other
: dimension, the fetch is from another dimension.
The fetch are from another world. This probably means another planet, not another dimension.
--SiliconDream