They are in the same building. Generally it's a single dunkin donuts or something similar. The building is generally owned by the CTA however.

I'm from Chicago, and I was a bit surprised when I went to NYC for the first time and saw stores on the opposite side of the turnstile. I know this is quite common throughout the world, but it is relatively uncommon in the United States.

As far as I know there are not any stores in Chicago that can only be accessed by paying a fare.