No connection between the two to my knowledge. I would think somewhere at OPUS Archives and Research Center there must be a list of the volumes in Campbell’s personal library, so it might be possible for you to inquire as to whether Luther Standing Bear’s My People the Sioux was on his bookshelf.
Interesting that his career with Buffalo Bill’s Wild West show was cut short by a train accident in 1903, the year before Campbell was born (Joe traced his love of Indian culture back to a performance of Buffalo Bill’s show at Madison Square Gardens in 1910, I believe, when he was six years old). I wouldn’t be surprised if Standing Bear appeared in a few of the silent westerns Joe saw in his youth, but if Campbell knew who he was, I suspect that would be because of his activism and writings in later years.