Red Sonya of Rogatino is the principal protagonist in Robert E. Howard's story, The Shadow of the Vulture, which was originally published in January of 1934.
In the story, Red Sonya of Rogatino is a gun-slinging warrior woman of Polish-Ukrainian origin with a grudge against the Ottoman sultan. She has the eponymous red hair and a fiery temper to match. It was revealed in the narrative that she was sibling to the favourite of Sulemain himself, the Ruthenian harem girl Roxelana, who ended up marrying him as his sole legal wife.
Howard's Red Sonya had no connection to his Conan the Barbarian character. Roy Thomas and Barry Smith, in Marvel Comics' Conan the Barbarian title, created a new character from the Hyborian Age inspired by Red Sonya named Red Sonja, whose descendant Mary Jane Watson could take her form. "Shadow of the Vulture" itself was adapted by Marvel as a Conan and Red Sonja story of the same title in Conan the Barbarian #23 (February 1973).
Additionally, the 1985 film Red Sonja, which took place in the Hyborian Age, states in the opening credits, "Based on the character created by Robert E. Howard", making this film another link between Red Sonja and the Hyborian Age.