Since they don't share the same universe, there are no canon interactions between these characters.
This ship is rare, as they do not exist in the same universe, nor will they ever meet. However, some fans from both fandoms believe that they would be a good mix. Also, this ship developed from fanfiction and has been gaining interest even since. The headcanons and beliefs about this ship have been developed into an alternate universe.
It is a popular idea in fanworks, that Caroline Forbes and Bucky Barnes met during World War II and became lovers. Occasionally, many fans support the headcanon that Caroline was still human during that time but was turned into a vampire by Klaus Mikealson - who had shown great interest in her - after Barnes' presumed "death".
Also, there is overall accepted alternate headcanon universe in which Caroline, Bucky and Steve are in a trinogamous relationship also known as Stevolucky.
- Stevolucky refers to the ship between Steve, Caroline and Bucky