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".
Several years after finally escaping his grasp Caroline tried to rebuild a new life in the small town, Mystic Falls. After learning that her (and Bucky's) friend Steve Rogers also known as Captain America was still alive she can't bring herself to search for him and therefore stays in Mystic Falls. However, two years later after seeing footage of Rogers fighting the Winter Soldier who turns out to be Bucky Barnes, she tries to make contact with Steve but fails due to S.H.I.E.L.D.'s interference and her fear of getting back on Klaus' radar. A couple of months later Steve finds her after receiving information that she was still alive from Natasha Romanoff.
Together they make it their mission to find Bucky and bring him back. After finding him both Steve and Caroline play huge roles in Bucky's recovery.
Also, there is overall accepted alternate headcanon universe in which Caroline, Bucky and Steve are in a trinogamous relationship also known as Stevolucky.
This headcanon!universe is seen as the main universe and was called (inspired by the comics) Earth-OT3.