The immune system appears to be involved in both and there does appear to be an autoimmune component in some patients (particularly CFS patients) but there isn't a sense that they are 'autoimmune disorders' or even 'immune disorders'. Both are complex diseases that appear to effect the central nervous system, HPA axis, the immune system and others.

The closest you could to come saying what either disease is saying that FM may be a 'hypersensitivity disorder' - a new term developed to characterize it, irritable bowel syndrome, TMJ and perhaps CFS.

Check  out the FM section on Health Central

http://www.healthcentral.com/chronic-pain/fibromyalgia.html