Lorewise, there's nothing so far linking them together. They have visual similarities, but that's it. There is a theory that's been floating around (Not sure if it's been confirmed anywhere or not) that Eggman actually invented the Phantom Ruby in one of the timelines, which could explain the visual similarities.
Sage is actually not really all that powerful on her own however, and doesn't appear capable of time travel or creating illusions which are the main two things we see the Ruby do in Mania and Forces. She is however the only entity we know of aside from Sonic so far capable of traveling back and forth between reality and cyberspace freely.
Her story arc also shares a number of similarities to Shadow's from SA2. To name a few:
Both are created by a member of the Robotnik family and regarded as their greatest creation up to that point. Shadow by Gerald, and Sage by Ivo.
Both are initially opposed to Sonic, only to team up with him later.
Both ultimately decide to sacrifice themselves for the sake of others, only to end up somehow surviving.
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