You could go from Athas to Ravenloft, but getting out of Ravenloft is arguably harder than getting out of Athas. If we take the table from Defilers & Preservers in 2nd Ed, any spell attempt to get to the Astral or Outer Planes fails a flat 80% of the time, strands the caster in the Gray 15% and succeeds just 5% of the time. You can add your caster level to the roll which means a 20th level caster will punch through the Gray 1 out of 4 times. Not great odds, but infinitely better than getting out of Ravenloft by the same methods - they just fail automatically unless DM Fiat is involved.
This is what makes Dregoth’s possession of the Planar Gate so unique - it doesn’t get impeded by the Gray and is absolutely reliable travel.
The World Serpent Inn has at least one connection to Athas - a door described as “kept under lock and key for as long as anyone can remember”. It opens into ruins half buried under sand dunes a few miles from an oasis that lies 20 miles southeast of Draj - Dragon Magazine 351 has the details. That said no reason you couldn’t put a random entrance to the Inn through a tavern or other shop anywhere in the cities of Athas.
***EDIT: Redking, please link your Kalidnay article when it’s published - nicking bits for one’s own campaigns is the sincerest form of flattery after all