The increasing development of Internet of Things (IoT) has led to the emergence of Internet of connected vehicles (IoCVs). These vehicles with various functionalities have the potential prospects for improving the quality of experience (QoE) of vehicle users. Moreover, the use of unmanned aerial vehicles (UAVs) in flying networks extends the connectivity and universality of IoT, and these UAVs with caching and communication capacities can support various services. However, due to the heterogeneity of vehicular networks and flying networks, the communication performance and content distribution between UAVs and IoCVs expose new challenges in heterogeneous networks (HetNets). Therefore, in this paper, a novel content distribution mechanism between UAVs and IoCVs is proposed to improve the QoE of vehicle users. Specifically, we first develop a novel content distribution architecture for UAVs and IoCVs in HetNets, where the content is distributed by UAV content providers to IoCVs. Next, we establish an optimization problem of content distribution between UAVs and IoCVs to minimize the transmission delay. In order to stimulate UAVs and IoCVs to join content distribution, the utilities of UAVs and IoCVs are formulated, respectively. Moreover, we design a coalition game between UAVs and IoCVs to determine the optimal strategy of content distribution. Finally, simulation results demonstrate that the proposed mechanism can significantly improve the performance of content distribution compared with the conventional mechanisms.