There’s no known direct link between George Borrow with the town of Warwick in Warwickshire. There is however a link via an episode in one of Borrow’s books.
In Borrow’s book Romany Rye a meeting takes place between George and his friend Francis Ardry:
[Francis Ardry says] I am bound for L—; at any rate, I am booked for that sea-port
...
My friend [Ardry]... had left London with the intention of witnessing a fight, which was shortly coming off at a town in these parts, between some dogs and a lion; which combat, he informed me, had for some time past been looked forward to with intense eagerness by the gentlemen of the sporting world
Romany Rye, edited by Knapp, p. 160.
It should be noted that there is only one know fight between a lion and dogs in 1825, and that took place at Warwick on 26th July 1825. The event was very unusual and widely publicised (nationally) before it took place. E.g. the Morning Chronicle, 20 July 1825:
THE LION FIGHT.
This singular exhibition forms the next object of attraction to Warwick. The Lion has arrived under the care of his owner, and a finer animal we have scarcely ever seen. He is upwards of five years of age, and was born in Scotland. The dogs by which he is to be fought, we understand, are of the bull-dog breed, and belong to some persons at Liverpool, but to whom, as well as the extent of the stakes, yet remains a secret. The cage in which the fight is to take place has been erected in the Factory-yard. It is composed of a frame-work of wood, in which iron bars are inserted, and appears to be sufficiently strong. It is said Master Nero has been tried by dogs, and that he not been found wanting in spirit and courage at the moment of attack. When caressed by Mr. Wombwell, however, he is as playful and as docile a spaniel. Some doubts exist whether the fight will be permitted to take place; but for these, Mr. Wombwell says, there is no foundation.
[Wombwell is George Wombwell who managed a travelling menagerie; the lion was Nero; Factory yard was known as Old Factory Yard, was in Saltisford in the suburbs of Warwick, near the racecourse, on the road to Northampton. The North Wales Gazette, 4th August 1825, adds Old Factory Yard was “close to the spot where a stage was erected for Cannon and Ward to fight on the preceding Tuesday”.]
The Times, whilst deploring the event, devoted two columns to reporting it on 28th July 1825. So strange was this fight that it was listed as a national event in a number of “chronology of the year 1825” reports, such as that of Jackson’s Oxford Journal, 7 January 1826.
So, the dog and lion fight took place in Warwick, around the time that the Romany Rye chronology implies it did. Going back to Borrow’s words: Francis Ardry would have been travelling first from London to Warwick (to see the fight), and then Warwick to L— (presumably Liverpool), with the natural route being Stafford, “the great North Road” where he met Borrow at Stafford (where William Knapp places the meeting). However, the order is wrong because whilst Ardry had left London, he was yet to reach Warwick: he’d have to double back if he went further north.
Finally, Borrow wrote the above around 1851–56: at least 25 years after it happened. Whilst it is possible Borrow remembered a lion and dog fight (as would many others in England), it does give credence to Borrow’s story as it fits more or less exactly, and was a known historic event.