Martin Short is opening up about loss. The comedian drew a connection between the last words his late wife Nancy Dolman said to him before her 2010 death and their daughter Katherine’s suicide in February . While speaking with the New York Times Friday, Short recalled Dolman telling him, “Martin, let me go.” “Katherine was saying: Dad, let me go,” the actor continued. “I don’t see any difference between mental illness as a disease and cancer as a disease. In some cases, both are terminal. And in some cases, both are survivable.” Martin Short revealed there is a connection between his late wife Nancy Dolman’s last words and his daughter Katherine’s death. (Short is pictured here with Dolman in 2009.) FilmMagic The actor recalled his wife of 30 years (pictured here together in 2009) telling him before her 2010 passing: “Martin, let me go.” Getty Images Dolman — who tied the knot with Short in 1980 — died of ovarian cancer at age 58.…