Vitamin D and Omega 3 have no direct relationship. Any relation is probably an accidental association. However there are several studies investigating the effect of co-administration, for example in treating depression, like Article The VITamin D and OmegA-3 TriaL-Depression Endpoint Preventi...
Being aware of the health promoting effect it is expected that people who live healthy might have higher values for both than unhealthy living people.
There is no direct relationship (as others have pointed out), but there may be some positive synergistic effects if both are provided together and, presumably, both are deficient. There are ongoing studies to determine hypothesized beneficial effects of providing both for some mental health issues and MS. But be wary - that studies are seeking to determine combined effects does not suggest much or any prior evidence of such effects either singly or in tandem. This represents hypothesis-testing.