While until recently most people didn’t know for certain whether GTA and Red Dead are in the same universe, recent GTAO stuff has hinted at the possibility (the existence of a New Austin trading company,) though an older and most notable example is the Red Dead book by J. Marston existing in GTA.
That being said, in the 3D Universe, Las Venturas (Las Vegas) is also in the state of San Andreas, just a ways east of Los Santos and San Fierro, and is surrounded by desert. Makes me wonder if further East of LV is the Redemption Mountains, and New Austin beyond that.