The short answer is yes and no (but mostly yes).
The film Red Sonja is based on the comic-book character Red Sonja (with a "j") created by Roy Thomas. This character was, in turn based on the character Red Sonya (with a "y") created by Robert E. Howard and seen in the short story "The Shadow of the Vulture".
This is backed up on the official Conan website;
The Red Sonya (with a “y”) character was created in 1934 by Robert E.
Howard. Howard’s Red Sonya of Rogatino first appeared in the Howard
story 'The Shadow of the Vulture'. She was a 16th century Russian woman
fighter who participated in the battle against the Turks in Vienna.
She had absolutely nothing to do with Conan, or the Conan world of
The Red Sonja (with a “j”) character was created by Roy Thomas in 1974
and was set in Conan’s Hyborian Age. This Red Sonja was the heroine of
the 1985 Film entitled Red Sonja.
Arnie was tied into a multi-picture deal with Dino de Laurentis and that Dino's strong desire was to create another Conan feature given the financial success of the two previous films. He'd even gone as far as pre-announcing that the next film would be based on the book "Conan the Conqueror".
Dino de Laurentis unfortunately faced two major obstacles, both of which related to his budget;
- The character rights for the Conan character were held by Universal and de Laurentis was evidently unable to secure them at a reasonable price.
- Arnold's bargain-basement salary deal meant that he couldn't be forced
to work a full shooting schedule
Rather than simply abandon the whole project, de Laurentis had what must have seemed a master stroke. He managed to secure the rights to a less well known (and much cheaper) comic-book property called Red Sonja. Sonja was still set in the Hyborian universe which saved him from having to rethink the screenplay and he wouldn't need Arnie to work full time since he would effectively become the co-star of a Sonja film rather than the star of a Conan film. As an added bonus, his writers could simply rehash some existing Conan + Sonja books into the screenplay without having to worry about the rights issues.
Unfortunately for de Laurentis script issues, rock-bottom budget and dire casting choices would ultimately produce what Arnie referred to as "the worst film I've ever made".
In specific answer to your question; the party line is that Sonja and Conan will never meet. In reality, of course we can see that de Laurentis used the Sonja character rights as a figleaf for a 'Conan-in-all-but-name' film.