New Mexico State Police spokesman Peter Olson said Tracy Province, John McCluskey and Casslyn Welch were linked through forensics but he declined to provide specifics.
He declined to say whether police believe the three were responsible for the killings, adding that "we don't know how involved they are."
Province, McCluskey and Daniel Renwick escaped from the medium-security Arizona State Prison near Kingman on July 30 after authorities say 44-year-old Casslyn Welch of Mesa threw wire cutters over the perimeter fence. Renwick was arrested in Colorado on Aug. 1.
The badly burned skeletal remains of Linda and Gary Haas, both 61, of Tecumseh, Okla., were found in a charred camper on Wednesday morning on a remote ranch in Santa Rosa in eastern New Mexico.
Olson said a car belonging to the couple was found 100 miles west in Albuquerque on Wednesday afternoon.
The Arizona Department of Corrections says the three men escaped by cutting a hole in the prison's perimeter fence and later kidnapping two semi-truck drivers at gunpoint and using the big rig to flee. The group left the drivers unharmed in the truck at a stop just off Interstate 40 in Flagstaff and then fled.
Province was serving a life sentence for murder and robbery out of Pima County. McCluskey was serving a 15-year prison term for attempted second-degree murder, aggravated assault and discharge of a firearm out of Maricopa County. Renwick had been serving a 22-year sentence for second-degree murder.
A nationwide search was under way for McCluskey, Province and Welch, and "America's Most Wanted" planned to air a segment about the group. The group may be using a 1997 platinum gold Nissan Sentra with Arizona license plate 6-2-0-P-F-V.
Thomas Henman, supervisory deputy with the U.S. Marshals Service in Phoenix, said the group should be considered "extremely dangerous," and urged the public to be very careful if they spot them and call authorities immediately.
"These are hardened criminals, and they're armed," he said. "And the longer they are out there, the more desperate they become and the more dangerous they become."
He said the Marshals Service is working feverishly to find the group.
"Eventually they will be caught," he said. "Obviously we want that to be sooner rather than later."
Meanwhile Saturday, the Marshals Service arrested McCluskey's mother in Jakes Corner south of Payson, Ariz., after authorities suspect she gave financial and other types of support to help McCluskey, Province and Welch on their flight from authorities.
Claudia Washburn, 68, was arrested at her home and place of business on charges of conspiracy to commit escape, hindering prosecution and facilitation to commit escape.