This is something that I have wondered as well (for when I eventually tackle my short stories).
I feel like it would be most cohesive to put together shorts that fall under the same genre and theme. And you don't have to worry about throwing readers off if one of the stories is completely different from the others.
On the other hand I feel it would be more convenient to just put them all together, plus you don't have to worry about gaining an all new readership.
So I can see both options and I'm curious to see what other people think.