Short fiction, testing the water

There's no way to tell if it "will work" until the story is actually written .

I released a Christmas-themed book, mostly urban fantasy, so that's (all but one story) set in the "real" world. Extra world building is required to make elements like dryads, house hobs, etc. fit in. The stories aren't necessarily linked, but I always make sure my collections don't have any conflicting world-building.

It worked out pretty well--the book just hit #6 on Amazon, although admittedly it's in a long-tail category, and it's on the free side, not paid.

First of all, the best advice I can give is to run each story individually through Share Your Work. I owe the critters there big for all they've taught me about story and style.

And secondly, I'd make each story a complete arc. I tried a four-part serial on my blog earlier this year, and the hits and comments were slightly down from my self-contained tales. Nobody was waiting eagerly for the next installment. I'm just going to smush the whole thing together when I publish it into a longer short story or novelette.

Also, even if all the stories are critiqued individually, find picky betas (the friendships you form in SYW will stand you well there) to give you feedback on the collection as a whole. I ended up rejecting three or four proposed stories because of beta advice for both volumes I've released thus far. (That sort of thing gave me a whole new perspective on rejection, however. I've rejected my own stories--and I liked them. They simply didn't fit in the overall work.)

Just be advised, the market for short stories seems to be less robust than for novellas or novels. I don't mind because I enjoy writing shorts, and it's been extremely useful from a feedback standpoint. It's way easier to get a critique on your 4k short than your 40k novella.

ETA: Welcome to AW, Damian!

Again, it all depends on the stories. It sounds like the 'Thieves' World' anthologies by Robert Lynn Aspirin (1978), in that it's a collection of stories, in the same world, with overlapping characters, (yours wouldn't be 'shared world' in that it's all your work) but that anthology had the added star-power of big-name authors.
Give it a try, if only, as you say, for your own development.