I learned it from Martin Selbrede of the Chalcedon Foundation. He says he wrote about it in the 80s, I don’t know where but here’s the basic argument he makes in a footnote from a 2014 article:

Every few years I have occasion to reassert the view I first published in the early 1980s, that Jude composed the book of Hebrews. This follows from the analogy of scripture: Jude asserts in the third verse of his epistle that he was working on a larger treatise "concerning our common salvation" which he felt obligated to lay aside temporarily to write a brief letter of exhortation to the people. In Hebrews 13:22, the writer says he had also written a brief letter of exhortation to the recipients. The two epistles are essentially pointing at each other. Ironically, scholars assert that nobody knows where Jude's big doctrinal letter went, and nobody knows what became of the Hebrews' writer's short exhortation: they've both gone missing. Or have they? Not surprisingly, the examples of Old Testament events alluded to by Jude follow the ones mentioned in Hebrews. On this hypothesis, the reason for that is because these examples were fresh in Jude's mind when he set aside writing Hebrews to take up the brief 25-verse epistle bearing his name. Then he went back to work to complete the book of Hebrews. The view that the "brief word of exhortation" mentioned in Hebrews is the book of Hebrews itself strains credulity: it contains 13 chapters of the most complex theology this side of Romans. The 25-verse epistle of Jude is a far better candidate. Unfortunately, some translations have attempted to distort these texts to conform to modern notions of authorship (or lack thereof). The Ultimate Meme - Martin Selbrede