Fifth Generation (5G) cellular networks are expected to provide cellular connectivity for vehicular users, including Unmanned Aerial Vehicles (UAVs). When flying in the air, these users experience strong, unobstructed channel conditions to a large number of Base Stations (BSs) on the ground. This creates very strong interference conditions for the UAV users, while at the same time offering them a large number of BSs to potentially associate with for cellular service. Therefore, to maximise the performance of the UAV-BS wireless link, the UAV user needs to be able to choose which BSs to connect to, based on the observed environmental conditions. This paper proposes a supervised learning-based association scheme, using which a UAV can intelligently associate with the most appropriate BS. We train a Neural Network (NN) to identify the most suitable BS from several candidate BSs, based on the received signal powers from the BSs, known distances to the BSs, as well as the known locations of potential interferers. We then compare the performance of the NN-based association scheme against strongest-signal and closest-neighbour association schemes, and demonstrate that the NN scheme significantly outperforms the simple heuristic schemes.