Do you think that this would define a subtype/subgroup of CFS?
Major chronic stress (like from bereavement, divorce, or major money woes) just before ME/CFS hits has been found more frequently in ME/CFS patients in several studies. This suggests major chronic stress could be a risk factor for developing ME/CFS.
This does make some sense, because major chronic stress weakens antiviral immunity, so if you were unlucky enough to catch a virus during a time of major stress, your immune system may have a harder time dealing with the virus, and conceivably, this may allow the virus the freedom to infect critical organs like the brain, thus leading to ME/CFS.
Now, if you have generalized anxiety disorder, it may be that you get stressed even with more minor stressors. So maybe some people with GAD are always chronically stressed, and this in turn might weaken immunity. Thus possibly GAD might be a ME/CFS risk factor.
That said, I have not come across any studies showing that GAD is a risk for developing ME/CFS.
Also, there's not much evidence to suggest that treating GAD will fix ME/CFS. Although GAD and panic disorder can be extremely unpleasant when moderate to severe, so treating them does greatly improve quality of life.