It’s probably not the first such story, but the Roman writer Priscus of Panium describes meeting a former Roman merchant at the court of Attila the Hun:

As I waited and walked up and down in front of the enclosure which surrounded the house, a man, whom from his Scythian dress I took for a barbarian, came up and addressed me in Greek, with the word Xaire, "Hail!" [...] This man, on the contrary, resembled a well-to-do Scythian, being well dressed, and having his hair cut in a circle after Scythian fashion. Having returned his salutation, I asked him who he was and whence he had come into a foreign land and adopted Scythian life. ... Then he smiled and said that he was born a Greek and had gone as a merchant to Viminacium, on the Danube, where he had stayed a long time, and married a very rich wife. But the city fell a prey to the barbarians, and he was stript of his prosperity, and on account of his riches was allotted to Onegesius in the division of the spoil, as it was the custom among the Scythians for the chiefs to reserve for themselves the rich prisoners. Having fought bravely against the Romans and the Acatiri, he had paid the spoils he won to his master, and so obtained freedom. He then married a barbarian wife and had children, and had the privilege of eating at the table of Onegesius.

He considered his new life among the Scythians better than his old life among the Romans, and the reasons he gave were as follows: "After war the Scythians live in inactivity, enjoying what they have got, and not at all, or very little, harassed. The Romans, on the other hand, are in the first place very liable to perish in war, as they have to rest their hopes of safety on others, and are not allowed, on account of their tyrants to use arms. And those who use them are injured by the cowardice of their generals, who cannot support the conduct of war. But the condition of the subjects in time of peace is far more grievous than the evils of war, for the exaction of the taxes is very severe, and unprincipled men inflict injuries on others, because the laws are practically not valid against all classes. A transgressor who belongs to the wealthy classes is not punished for his injustice, while a poor man, who does not understand business, undergoes the legal penalty, that is if he does not depart this life before the trial, so long is the course of lawsuits protracted, and so much money is expended on them. The climax of the misery is to have to pay in order to obtain justice. For no one will give a court to the injured man unless he pay a sum of money to the judge and the judge's clerks."