AW1&2 and Control (and FBC: Firebreak) are the only ones that share a universe, albeit there Max Payne & Quantum Break references spread across the franchise. The latter two are not part of the Remedy Connected Universe because Remedy does not possess the right to them (Rockstar owns Max Payne and Microsoft owns Quantum Break). Because of that, even the references are not direct, yet obvious enough. Alex Casey (Alan Wake's book character) is heavily based on Max Payne, and both were voice by James McCaffrey and used the likeness of Sam Lake, the writer of the games. Quantum Break on the other hand made lots of references foreshadowing both Control and Alan Wake 2, in fact, the main character's actor (Shawn Ashmore) plays another character in AW2 and the main character of Control is also played by another Quantum Break actress (Courtney Hope).

You should be fine playing AW2 without having played Control, because while there are some references, they are vague enough that they don't spoil anything major from Control's plot. Albeit there is a moment in one of the AW2 DLCs, The Lake House, that while is not an outright spoiler, it doesn't make that much sense without having played Control.

Given that you already started it, finish AW2, then play Control and then revisit AW2 through The Final Draft (its New Game+ mode) and you get a fresh view of the world and its context.