What a hard thing to link (Raimond Gaita's "Romulus, My Father" and Oscar Wilde's "The Picture of Dorian Gray"). Wilde's text illustrates a man, Dorian Gray, who comes to understand the devastating cost of hubris. Gaita's text is biographical and tells the story of his father, Romulus. Both texts are very different in style, message, and characterizations (given they are either fictional or nonfictional).
That said, both texts do contain one element which one could use to tie them together (in regards to the struggle to belong). Both texts contain people or characters who commit suicide. One could take the suicides and look at how the deaths illustrate one's inability to belong or accept his or her circumstances. (On a side note, although Dorian "kills" the portrait, he is actually killing himself.)
Another way to link the texts, regarding the idea of belonging, is to bring up the concept of immigration (Gaita's text--his father) and one's belief that he or she is superior to all others (Wilde's text--Dorian considers himself too beautiful to be compared to others or be subjected to the same fate as others (death)).