There is no evidence that James Arness and Amanda Blake had an off screen affair. Amanda Blake had five husbands the last of which was bisexual and was thought to have given her AIDS from which she died at age 60.
On screen, Matt Dillon and Miss Kitty never officially had a serious relationship. But many people used their imaginations to create one. Here is James Arness discussing their roles:
As for Amanda Blake, here is her discussion of Miss Kitty and Matt:
So, it shall remain a mystery but we can all fantasize and make up our own story!