I seem to recall an introductory D&D box from the mid 1990’s that had a video.
There were several D&D boxes with audio CD’s; One was a starter set, called “First Quest” (The others were supplements.)
The Dragon Strike game was released by TSR, has a hybrid play mode (That is, it’s a board game but uses a GM, and can be used as an RPG; to the non-RPGer, it can be easily mistaken for an RPG. THis is the most likely one to be so confused. It has a “Learn to Play” VHS cassette.
The DragonRaid RPG also has an audio CD to assist new players. There was, at one point, discussion of a VHS cassette showing as well as telling, but I don’t know if it got off the ground. (And while not a bad game, it’s definitely very focused on a Christian allegory mode similar to Narnia, but more obvious about it. (My copy predated the CD version, and had audio cassette.)
Il gioco di ruolo di Ken il Guerriero was sold bundled with the VHS of Fist of the Northstar in Italy; the Game doesn’t use the video, but is based upon the video.