So the GTA series has mention of Bullworth Academy and Carcer City, presumably setting Manhunt and Bully in the GTA Universe.
Max Payne has mention of New York and New Jersey, (replaced by Liberty and Alderny, presumably), so that's excluded.
However, is there any evidence in Red Dead that sets it or separates it from GTA? The substitute "Texas" territory is known as "New Austin", continuing with GTA's tradition of different-yet-similar territory renamings.
Other than that, and the several thousand bastard children of John Marston running around GTA:O, is there any evidence?