Other tales resort to a random collection of issues. I keenly recall the story where Conan and the Love Interest of the Week faced: a man-ape bent on abducting the love interest, a cursed building where malicious statues woudl come to life by moonlight, and pirates. No connection at all. . . .
It does leave the ending more open. Especially since the individual perils tend to be less than Dark Lord. A lot easier to have another such peril emerge.