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The Lightning Thief
Grover tells Percy that when people die they will experience the afterlife they believe in, so just because they end up in the Underworld they might not experience it in the way other people do which is a possible allusion to the fact that other after lives and thus other mythologies exist. (This probably wasn't planned by Rick)
The Blood of Olympus
Annabeth mentions her cousin and uncle in Boston, Magnus, and Randolph Chase.
The Hidden Oracle
When Apollo goes to Percy's apartment, Percy mentions that Annabeth is in Boston for a family emergency (most likely with Magnus).
Apollo mentions that even though he's the Greek sun god the sun still travels even if he's mortal because of other sun gods
Apollo mentions Ra riding his sun barque across the sky (an allusion to Egyptian mythology)
Apollo mentions Sol, the Norse sun god, running from wolves across the sky (an allusion to Norse mythology).
Apollo mentions coming across a "hot god" in Stockholm and it references this god having a "Talking sword that won't shut up". This god is Frey, and the sword is Sumarbrander, also known as Jack.
The Tyrant's Tomb
Lester mentions that Harpocrates is a Potamic god which alludes to the fact that other gods exist
The Tower of Nero
Rachel claims she sees a mansion next to the Dare mansion. She also says they do weird things and sees a penguin. This mansion may be Brooklyn House.
Chiron has an emergency meeting with a severed head & a cat. Chiron says they are acquaintances of his from other pantheons (all the gods of a religion). The severed head is Mimir from Norse mythology and the cat is most likely Bast from Egyptian Mythology
The Red Pyramid
Amos Kane states that Manhattan has its own set of gods and that they must be kept separate from Egyptian gods. He says this while looking at the Empire State Building, the current home of Mount Olympus. (Credit)
Amos talks about Egyptian influences on the United States, like the pyramid on the dollar bill which may be a callback to what Chiron told Percy about Greek influences on the United States like the Statue of Prometheus in Rockefeller Center.
Thoth mentions that he met Hermes once pointing to the existence of other mythologies.
In the epilogue of the graphic novel, Sadie is seen wearing a Camp Half-Blood T-shirt (Credit)
The Throne of Fire
Carter mentions that he once thought he saw a flying horse which is a pegasus and a reference to Greek mythology and the fact that Greek gods exist
There may have been a possible reference to Percy Jackson and his water powers when Carter says he wished that he had sea god powers when he and Bes are attacked by water demons guarding Zia's tomb.
The Roman ghosts that appeared later in the story mentioned the Roman gods Jupiter, Pluto, and Vulcan. Later, when they were destroyed by Ptah, he mentioned they went on to whatever afterlife awaits them, referring to the Underworld. (Credit)
At the end of the graphic novel, Carter is seen wearing a Camp Jupiter T-shirt. (Credit)
The Serpents Shadow
When Sadie & some other Brooklyn House magicians go to a school dance at the school they attend (Brooklyn Academy for the Gifted a.k.a. BAG), Sadie encounters Lacy and Drew (2 half-bloods from Camp Half-Blood). Lacy mentions that she and Drew go to the same summer camp (Camp Half-Blood) and that Drew is a tyrant there (alludes to Drew being a counselor in the Aphrodite cabin).
Walt tells Sadie that a soul experiences the afterlife they believe in so if they go to the Egyptian afterlife, but they don't believe in an afterlife then that's what they will experience which may point to other afterlives.
During a conversation that Sadie has with her mom (her mom's ghost that is), Sadie's mom mentions that there are other gods and rival magic which alludes to their being the existence of other mythologies.
At the end of the book, Sadie says that they are detecting some magical energy coming from Long Island. The energy obviously comes from Camp Half-Blood which is located on Long Island.
The Brooklyn House Magicians Manual
Setne mentions this in the book. "... you introduced me to a guy with unusual powers. Unusual for Egypt, anyway." This guy with unusual powers is without a doubt Percy Jackson who is a Greek demigod, in his previous sentence he says that his transformation from ghost to god will make waves which may be poking fun at Percy's water powers.
Question #4's answer for the quiz of Ra says this, "The sun chariot belongs to a different sun god with connections on Long Island." This is a nod to the Greek sun god Apollo and his sun chariot.
Sadie mentions that Carter is using a book (The Book of Pavement) which is on loan from a friend. That friend is Percy Jackson and the book is actually Camp Half-Blood Confidential. The book is placed under Setne's snow globe in the book.
The Sword of Summer
Magnus's last name is Chase, cousin to Annabeth
Magnus notices that Annabeth is wearing an orange t-shirt which is undoubtedly the Camp Half-Blood t-shirt
Annabeth tells Magnus that she recently learned that sometimes she needs to step back and let others do their quest which is a reference to her having to leave Bob and Damasen behind
Annabeth tries to convince Magnus to come to a place where he will be safe. She is talking about Camp Half-Blood or Camp Jupiter.
Jack says how stupid it is to have a pen sword form which may allude to Riptide, Percy's sword.
Chapter 48's title "Hearthstone Passes Out Even More than Jason Grace (Though I Have No Idea Who That Is)" refers to Jason Grace (former Roman praetor) and the fact that other mythologies co-exist alongside Magnus's world.
Annabeth tells Magnus that she might understand more than Magnus thinks she does, an allusion to her demigod life
Annabeth alludes to her demigod life by saying Magnus has no idea how weird her life is
The Hammer of Thor
Annabeth tells Magnus about them (demigods) having communication issues and a fallen god, she also mentions Roman emperors. The fallen god is Apollo, communication issues being an issue in Trials of Apollo orchestrated by the emperors, the emperors are 3 Roman emperors (Nero, Commodus, and Caligula) who have become minor gods.
Magnus says that Annabeth believes that as long as a mythologies stories are remembered, they will survive. Possibly alluding to the existence of other mythologies
Magnus thinks about mortal perceptions of mythological things and thinks that perhaps the mortals see a child or dog and not Otis, an allusion to what mortals see through the Mist
Annabeth talks about giving family a chance and not giving up on them which may refer to her making up with her dad.
Annabeth is seen wearing a purple shirt that says SPQR: UNR which probably means SPQR: University of New Rome
The Ship of The Dead
Percy is seen training Magnus at the beginning of the book
In the book, Mallory gives Magnus her "standard-I'll-kill-you-later-with-both-knives-look" which may be a call back to Percy's deluxe I'll kill you later look to Nancy
In chapter 37 of the book, Alex is seen talking to Magnus about experiences they have faced previously, she does this as an effort to stay alive despite the cold. This may be a reference to Annabeth doing the same thing in House of Hades when she & Percy fall in the Cocytus (the river of lamentation).
At the end of the book Magnus & Annabeth discuss what's happening with Randolph's mansion (a.k.a. the Chase Space), during this conversation, Annabeth was heard crying by Magnus which may be her crying about Jason's death (Credit)
The entire book is a crossover between Percy Jackson and The Olympians and The Kane Chronicles. The book consists of the short stories The Son of Sobek, The Staff of Serapis, and The Crown of Ptolemy