"Saying, Where is he that is born King of the Jews? for we have seen his star in the east, and are come to worship him."
Both passages refer to the search for the newborn Jesus, who is identified as a king or prince. The connection is thematic, focusing on the event of the wise men seeking Jesus.
"And when they were come into the house, they saw the young child with Mary his mother, and fell down, and worshipped him: and when they had opened their treasures, they presented unto him gifts; gold, and frankincense, and myrrh."
Both passages relate to the wise men finding and worshipping the young Jesus. While EGW's statement is brief, it clearly alludes to the broader narrative in Matthew 2:11.
As by faith Abraham went forth at the call of God, “not knowing whither he went” ( Hebrews 11:8 ); as by faith Israel followed the pillar of cloud to the Promised Land, so did these Gentiles go forth to find the promised Saviour. The Eastern country abounded in precious things, and the magi did not set out empty-handed. It was the custom to offer presents as an act of homage to princes or other personages of rank, and the richest gifts the land afforded were borne as an offering to Him in whom all the families of the earth were to be blessed. It was necessary to journey by night in order to keep the star in view; but the travelers beguiled the hours by repeating traditional sayings and prophetic utterances concerning the One they sought. At every pause for rest they searched the prophecies; and the conviction deepened that they were divinely guided. While they had the star before them as an outward sign, they had also the inward evidence of the Holy Spirit, which was impressing their h…
"By faith Abraham, when he was called to go out into a place which he should after receive for an inheritance, obeyed; and he went out, not knowing whither he went."
Ellen White directly references Hebrews 11:8 in this passage.
"They have reached the land of Israel, and are descending the Mount of Olives, with Jerusalem in sight, when, lo, the star that has guided them all the weary way rests above the temple, and after a season fades from their view. With eager steps they press onward, confidently expecting the Messiah's birth to be the joyful burden of every tongue. But their inquiries are in vain. Entering the holy city, they repair to the temple. To their amazement they find none who seem to have a knowledge of the newborn king. Their questions call forth no expressions of joy, but rather of surprise and fear, not unmingled with contempt. DA 60.3"
"Now when Jesus was born in Bethlehem of Judea in the days of Herod the king, behold, there came wise men from the east to Jerusalem, Saying, Where is he that is born King of the Jews? for we have seen his star in the east, and are come to worship him. When Herod the king had heard these things, he was troubled, and all Jerusalem with him."
The EGW passage retells the story of the wise men's arrival in Jerusalem as described in Matthew 2:1-3. It's a clear retelling of the same event.