One strategy for this is to suppose a separation $C\cup D$ for the union and see that if one of them is connect, then it's entirely in $C$ or $D$. Let's suppose $D$. Then the others having a point in common with this one, will also lie in $D$.
Now, can I do it like this:
The union of two connected spaces with a point in common is connected. So by induction I'm always uniting a connected space with another connected space which has a point in common.
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Your argument actually works, if you slightly reword it: start with a point $a\in A_1$, and prove by induction (exactly the same way as you have suggested) that the connected component of $a$ contains each $A_n$, and thus it must be the whole space.