The connection is that sshd calls code in libsystemd when running as a systemd service, to notify systemd that it finished starting. An unrelated functionality in libsystemd (my guess is that it's related to parsing journald logs, since they can use LZMA compression) uses the lzma library, so libsystemd is linked against it. That is, the chain is: sshd is linked against libsystemd, which is linked against liblzma. When loading the sshd executable, the dynamic linker will load all these libraries.

The backdoor was added to initialization code in liblzma (which runs whenever the dynamic linker loads that library). So that malicious code runs before sshd starts executing, and manipulates the dynamic linker so that it will do something (which is still being analyzed AFAIK) when some specific functions are called by the sshd executable.