Rockstar loves putting UFO references into their games, and Red Dead Redemption 2 is no exception. To find this Easter egg, you first need to find Hani Methel's house, which is located north of Heartland Overflow in New Hanover.
When you arrive at the house, you should find a message on the table, which says that you need to come back at 2 a.m. for "some event" to happen. If you have enough patience and can wait until 2 that time, you will see an alien ship hovering over Hani's house.
It's a short scene but something you will definitely want to show to all your friends -- and a tale to tell around the Van der Linde campfire.