I've found 2 connections so far, does anybody know of a third?
- Khajuraho, Parshvanath Jain temple
- Works of Gaudi, passion facade of Sagrada Familia (although this is a dubious one, as it wasn't made by Gaudi so outside the WHS)

See this link for what a Maqic Square is.

Found another one by myself, Herculaneaum/Pompeii! Bit different too, but we will get to a connection somehow: Magic square graffito in Pompeii

More?