Mellencamp recently split from his wife, model Elaine Mellencamp, after 20 years of marriage. According to Hollywood Life, Ryan may have been at the centre of the breakup.
A source told The New York Post: "Meg has been to a couple of [Mellencamp's] recent shows."
The alleged couple were also photographed walking arm-in-arm in New York City in October. However, the two are reportedly said to be working on the musical Ghost Brothers of Darkling County.
This is not the first time Ryan has been implicated in an affair. The actress split from her husband of 10 years, actor Dennis Quaid, in 2001, when she cheated on him with Russell Crowe while filming Body of Proof.