The only anecdote I have seen is one reported by Opie Read in his book
_Mark Twain and I_ (1940) -- and unsubstantiated. Read states Twain told a
group of men that he met James in a "small town store" in Missouri and
James told Twain "Guess you and I are 'bout the greatest in our line"
(Read, p. 11).

Writer Max McCoy used the report of this meeting to write a novel of
alternative history with James proceeding to tell his life story to Twain.
McCoy's book is titled _Jesse: A Novel of the Outlaw Jesse James_ (1999)
and rereleased in 2016.

Barb