Fans have tried to prove it using a book titled "Red Dead" by a "J. Marston", but that is only one of many easter eggs scattered all over GTA 5 about Red Dead Redemption. Using easter eggs as prove of something is a bit pointless since we are talking about easter eggs, which are small nods to pop-culture/other titles added by the devs for us to find, GTA is full of those.

However, I am a 100% confident that both games aren't connected, because both projects differ a lot in tone, world, and lore.

The best proof that I've seen that the worlds are connected is probably from Francis Sinclair. There are a lot of hints to suggest that he is or once was a high-ranked member of the Epsilon Program which any GTA V fan will know is a cult active in Los Santos.