This story is an adaptation of the batman: the animated series episode of the same name which also is one my personal favorites (Almost Got Im' reigns supreme though). If you're unfamiliar with it here is the plot synopsis
Ra's al Ghul leads his league of shadows to infiltrate a retirement home and kidnaps one of the retirees (big word for old people in rest home waiting to die). Upon investigating the crime scene (is it a crime if he wont be missed? OHHH burn… sorry), Batman discovers a tape and plays it on the way to stop Ra's from leaving Gotham with elderly in tow.
The tape itself is about about Jonah Hex. He first makes his way into a town called "the devil's hole" asking for information about a man named Arkady Duvall which the townsfolk are more than happy to reveal due to Arkady's asshole-ness. After finding his whereabouts, Jonah uncovers a plot by Ra's to destroy various railway and government installations and make himself "Master Of America". After that Jonah is captured then tricks the guards and escapes to the flying machine they are using called the "phoenix" and sabotage the airship before it destroys anything.
Duvall is captured and sentenced to 50 years hard labor which he survived due to the lazarus pit and his mind has been warped beyond the pits abilities to revitalize. Back in present day batman catches up with Ra's and discovers that the old man Ra's took is really was Arkady and batman lets him go to spend his final years with his father.
The only difference here is 2 things
John Marston instead of Jonah Hex & SI instead of batman
I'll try to keep this in RDR canon as best I can so bear with me but timeline-wise this takes place before the start of the game but after John is told to round up the members of his gang
Here we go…