I'm not sure there's a specific connection between the film and the two paintings but there might be a broad connection between the book on which the film is based and the biblical event that's depicted in the paintings.
Steven F. Walker argues that the prologue (or frame) of The Turn of the Screw, in which a man named Douglas reads the Governess' diary to a group of people in search of a scary story, takes place across 27-28 December. That means, when Douglas gets to the part where Miles (possibly) dies, it would be the 28 December. Walker writes:
It is [] the day on which the Church of England celebrates the Feast of the Holy Innocents. This significant date may provide a meaningful subtext for the interpretation of The Turn of the Screw.
The Feast of the Holy Innocents--also called Childermas in England--has been part of the Christian calendar since the fifth century and is traditionally celebrated to commemorate the slaughter of the baby boys of Bethlehem by King Herod. Herod had been alarmed by the prophecy (reported to him by the wise men from the east) that a child had been born in Bethlehem who would one day be king of Israel and hence, in a literal reading of the prophecy, would one day take over his throne. He tried to forestall this eventuality by ordering the slaughter of all baby boys two years old and younger in the area of Bethlehem (see Matthew 2.1-18).
Walker, Steven F. "James's 'The Turn of the Screw.'(Henry James)(Critical Essay)." The Explicator 61.2 (2003): 94+. Literature Resource Center. Web. 19 Dec. 2012.
Personally, I would hesitate to read too much into this biblical connection and would focus instead -- as Henry James himself does -- on seeing the story as a more general exploration of the idea that children always are, or ideally should be, innocent.
Way I see it: would that nuanced thematic exploration really be improved by a vague allusion to a biblical event in which the children really were the innocent victims? I don't believe so.
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