The short answer to this question is "no". Quite a large number of what might today be considered "UFO" reports (both "lights in the sky" and closer encounters) are on record from the late 19th century on, but the correlation that exists is between the invention of terrestrial forms of flight and such reports, not discussion of "aliens from another world." Typically, the source of these earlier reports - if they were assumed genuine, that is - was taken to be, first, inventors or groups of inventors (this was commonly the case, for example, for the first wave of US "mystery airship" reports in the 1890s) and later, "spy" overflights by aircraft operated by foreign powers (which was assumed to be the case in the large number of waves of "mystery airship" and "mystery aeroplane" reports that occurred around 1909-1914.) These reports, incidentally, occurred even in places where logically it would have been very difficult for enemy aircraft to operate. For example, there were "mystery aircraft" reports from both Australia and New Zealand before World War I. This is a good reason, in my view, for supposing that such reports were the products of media reports, culture and expectant attention, not real things seen in real skies.
Things changed after World War II when the first UFO-style wave of reports took place in 1946 and consisted of "ghost rockets" sighted over Scandinavia, which it is possible to see as possibly the products of the extensive news reporting of German V-weapons. "Flying saucers" with supposedly extraterrestrial origins don't crop up in a major way till 1947 and the period thereafter, and here again some cultural historians have proposed a correlation not so much with "extraterrestrial discussion" as with the production of sci-fi movies.
Some very interesting work has also been done on UFO-style reports in countries that were not heavily exposed to western style media. One of the most fascinating concerns Algeria, where as late as the early 1980s "things seen in the sky" were still quite likely to be interpreted as the results of the activity of genies - djinns.
There is an extensive literature on all this but a good place to start is the work of David Clarke, a folklorist who has worked with the British National Archives on its UFO files.
Clarke's National Archives podcasts
Also see Nigel Watson's UFOs of the First World War
The Algerian case study, by Thierry Pinvidic, based on his time in that country as a school teacher, is not available online. It appeared in the magazine Magonia, issue 14 (1983), and I summarised its contents here.
A bizarre case involving airships supposedly flown by a mysterious group of secretive inventors, the "Sonora Aero Club," was "documented" in the paintings of the outsider artist Charles A.A. Dellschau, whose images are strangely beautiful. For a book on this case (written by UFO "believers"), see Crenshaw and Navarro's The Secrets of Dellschau.