Cannonically no. ofc technically all 4 vault hunters are traveling together, Krieg meets Maya outside the train and I am not entirely sure how Gaige meets them.
I don't remember the full details, but Gaige's father created a distraction for Gaige to disappear, so she came to pandora to escape certain people for certain reasons (vague due to spoilers). And I read somewhere about kriegs, it had to do with meeting maya and saving her one time, so he's supposed to be on like the side of the train or something. His confuses me more, but Gaige's enters more spoiler territory