Officially, yes and no.
Before the series started airing, pre-production publicity said that The Girl Who Died and The Woman Who Lived would be two parts of the same story, although a more loosely linked two-parter than many of the others in the series. From this article from August 2015 (emphasis mine):
Details have so far emerged about 8 episodes, divided into 4 two-parters - though Moffat has noted that some of these dual episodes are "just linked" rather than adopting the traditional two-part format.
"It's not just two-parters - it's occasionally taking one strand and keeping it going," he explained. "There's two-parters where the episodes are quite different, two-parters that are quite traditional - just to change the rhythm of it."
Later on in the same article, it's confirmed that The Girl Who Died / The Woman Who Lived is one of those loosely connected two-parters:
Episodes 5 & 6 - 'The Girl Who Died' / 'The Woman Who Lived'
The first example of a non-traditional two-parter - these two linked instalments are penned by different writers, with Moffat and 'Flatline' scribe Mathieson working together on episode 5, and episode 6 penned solo by Torchwood's Tregenna.
These two episodes were shot together in one production block, but since they might only be loosely connected, it's unclear which cast members will appear in episode 5 and which will appear in 6 - or indeed, if the entire cast will appear in both.
All the above suggests that these two episodes are considered to form a two-parter. However, the BBC Blog page found by @Richard in his answer suggests that they aren't. So as far as official word goes, you can choose what you want to believe.
In practice, no.
The stories of these two episodes are entirely different and linked only by a single character. In my view, they're no more strongly linked to each other than to Face the Raven - which in turn of course is linked to Heaven Sent and Hell Bent, so at that point we'd be looking at a five-parter story. Much better to consider The Girl Who Died and The Woman Who Lived as stand-alone episodes which both feature a recurring character of Series 9.
My view is shared by several more official reviewers. For instance, in an article published January 2016, Doctor Who Magazine editor Tom Spilsbury said:
Controversially (perhaps), we've [at the magazine] decided not to combine The Girl Who Died and The Woman Who Lived, or Face the Raven, Heaven Sent and Hell Bent – as despite their linked nature, the individual styles of each episode meant that we couldn't really consider them as true multi-parters, and we didn't want to short change readers by forcing you to give a combined score.
And the reviews written by our own Dr R Dizzle also reflect the view that these episodes aren't really a proper two-parter. From his blog (emphasis mine):
"The Girl Who Died" has a straight forward beginning, middle and end, a complete narrative that only introduces the fact that it is a two-parter after the main story of the episode has been told.
["The Woman Who Lived"] coming immediately after "The Girl Who Died" makes these two episodes feel like a poorly linked two-parter rather than the related but firmly singular episodes that they should be seen as.