The New Adventures of Captain S/WMG

Captain S is the son of Captain N: The Game Master

• Since Captain N was set in 1989, and Word of God sets this show in 199X, that's Jossed.

The Korean gypsy we saw in the first episode is the third entity.

The illustrated introduction to the seventh episode mentions three entities whose duty was to guard the X code. The accompanying picture shows the hands of each of those entities: one has sparks around the arm; another one has spirals on the knuckles; the third one wears many bracelets. Subsequent illustrations show the entity with sparks to be the Game Genie (he stole the X code) and the entity with spirals to be the Head (he is depicted as a giant head with spirals as eyes). There's one entity left, which has not been mentioned explicitly in the series, but the only character we saw wearing many bracelets was the gypsy who sold the magic cartridge to Chad. Why would she own something that allows you to reach Videoland in the first place? Obviously because she is FROM Videoland, and she is the third entity.

Sullivan serves alcoholic milk shakes.

This explains why every character in the series likes them so much, and why, in episode 7, Chad gets drunk by having too many. But alcoholic milk shakes are Truth in Television (just search "alcoholic milk shake" on Google). This means that milk shakes in The New Adventures of Captain S are not merely a family-acceptable substitute for alcohol, they are actually alcoholic.

Game Genie has a "thing" about squirrels... and vice-versa.

Or, in alternative:

Squirrels are sapient in Videoland.

As a Shout-Out to The Hitchhiker's Guide to the Galaxy, with squirrels instead of mice

NES will return... with a new identity.

Lost in the void between worlds, NES discovers a new piece of technology (See the epilogue after the end credits of Episode 10) that helped him escape, as well as put him in a new Super Mode, creating... Super NES.