Let's prove this using induction:
First we'll prove that it holds for one case and the we'll just add 1 to m and 1 to n:
Step 1:Basis
$n = 2, m = 1$
$$U_3 = U_1*U_1 + U_2*U_2$$
$$U_3 = 1*1 + 1*1$$
$$U_3 = 2\text{, which is true}$$
$n = 2, m = 2$
$$U_4 = U_1*U_2 + U_2*U_3$$
$$U_4 = 1*1 + 1*2$$
$$U_4 = 3\text{, which is true}$$
$n = 3, m = 1$
$$U_4 = U_2*U_1 + U_3*U_2$$
$$U_4 = 1*1 + 2*1$$
$$U_4 = 3\text{, which is true}$$
Step 2:Inductive hypothesis
In the basis we've shown that it works for at least two consecutive numbers, so the statement holds for at least one pair of $U_{n+m}$ and $U_{n+m+1}$
Step 3: Inductive step
Now we'll show that it holds for every 3 consecutive number:
We have:
$$U_{n+m+2} = U_{n+m+1} + U_{n+m}$$
$$U_{n+m+2} = U_{n-1}*U_{m+1} + U_n*U_{m+2} + U_{n-1}*U_m + U_n*U_{m+1}$$
$$U_{n+m+2} = U_{n-1}(U_m + U_{m+1}) + U_n(U_{m+1} + U_{m+2})$$
$$U_{n+m+2} = U_{n-1}*U_{m+2} + U_n*U_{m+3}$$
Q.E.D.
We've proven that if it holds for $U_{k}$ and $U_{k+1}$, then it holds also for $U_{k+2}$. Then if it holds for $U_{k+1}$ and $U_{k+2}$ it also holds for $U_{k+3}$ and so on.
Edit:
I prove it, but I don't think that this answer would satisfy you.
First let me explain the method to you. First we prove that it work for the smallest values of $n$ and $m$, the will prove that it's true for $n$ and $m+1$. Knowing that this is true, we'll show that this is work also for $n$ and $m+2$. So the idea is:
Let $n$ be constant term, you can choose any number $\ge 2$ in the basis we prove that the statement holds for $m = 1$ and $m = 2$. We'll use this fact to prove that it also holds for $m = 3$. Then we'll use the fact that for $m = 2$ and $m = 3$ the statement is true, so we'll simularly prove it holds for $m = 4$ and so on to infinity.
Basis
n = 2,m = 1
$$U_3 = U_1*U_1 + U_2*U_2$$
$$U_3 = 1*1 + 1*1$$
$$U_3 = 2\text{, which is true}$$
$n = 2, m = 2$
$$U_4 = U_1*U_2 + U_2*U_3$$
$$U_4 = 1*1 + 1*2$$
$$U_4 = 3\text{, which is true}$$
Inductive hypothesis
Statement holds for at least one par of consecutive Fibonacci numbers, let those be: $U_{n+m}$ and $U_{n+(m+1)}$.
Inductive step
We need to prove:
$$U_{n+(m+2)} = U_{n-1}*U_{m+2} + U_n*U_{m+3}$$
$$U_{n+(m+2)} = U_{n-1}(U_m + U_{m+1}) + U_n*(U_{m+1} + U_{m+2})$$
$$U_{n+(m+2)} = U_{n-1}*U_m + U_{n-1}*U_{m+1} + U_n*U_{m+1} + U_n*U_{m+2}$$
If we rearrange the terms we'll and make a substitition we'll get:
$$U_{n+(m+2)} = U_{n+(m+1)} + U_{n+m}$$
Which is obviously true.
Hope this make it clearer.