Yes, this was and in the case of some people like Hungarian lawyer and right-wing extremist László Grespik is believed still is the case. Grespik taking a theory developed in the late 19th / early 20th century said in 1999 that

we know that Jesus wasn't a Jew but a parthian (scytian-hunnic) prince of our blood which means that we are related to Jesus. That is why the Magyars [a name for the ethnic group of Hungarians] are God's chosen people because one of our princesses was the mother of the child of God. The kings of the house of Árpád are descendants of the family of Jesus. In secrets writings of the Vatican our history is told but it is kept secret before us and the whole world because we are an older and higher culture than that of all Westerns.

As you probably can tell, this whole theory mainly relates to one thing: Nationalism! It was borne out of nationalism and the whole "Jesus is a prince from which a Hungarian dynasty descends" is a special flavor of nationalism that was highly popular among nationalist extremists and fascists of the inter-war period in Hungary. It also goes further in some iterations such as that of one of its chief representatives Badiny Jós. Jós claims among other things that because the Hungarians / Magyars are related to Jesus they were also the first to develop written language and a couple of other things that are regarded as important for civilization.

But let's get to the history of this: How is the rather strange connection made? It all starts in the 19th century, birthplace of European Nationalism and some of the most questionable quests for historical legitimacy and lineage. So while the Germans made the questionable connection of their origin lying with the victorious Germanic tribes of Arminius, the Romanians started claiming to be the direct descendants of the Roman Empire and so on and so forth, the Hungarians ran into a bit of trouble discovering a mythical and romanticized national past for them. Because so much of this is transported through the roots of language they could neither claim a roman nor a slavic past for them because as you know Hungarian is a pretty unique language that's not really related with much else (aside Finnic and in some ways Estonian). Their nationalist myth lay with them being descendant from some horse riding tribe from central Asia that arrived in the Hungarian plain during the great migration.

Transforming what some had seen as a handicap into a virtue, Hungarian nationalist and ethnic entrepreneurs took up the mantle of the Central Asian riders and set off discovering the allegedly great past of the Hungarian nation. Take e.g. figures like Sándor Kőrösoi Csoma who was convinced that the Magyars were descendants of the Huns and so set off to Central Asia to discover evidence for his theory. While his quest to find said evidence was not very successful, he is still remembered to this day because his travels took him to Tibet where he became the first person after spending a lot of time there who produced a Tibetan-English dictionary which made some representatives of English colonialism pretty happy.

Another one of the people trying to discover the origin of the Magyars was Armin Vámbéry who traveled the Near East and Central Asia disguised as a Dervish, met various Afghan Khans and wrote a book about it that can be classified as one of the purest forms of what Edward Said would later accurately describe as European Orientalism. He too, however was not really successful in discovering the roots of the Hungarian people in Central Asia despite his efforts. Still in Vámbéry's works early theories of what would later become known as "Turianism" would emerge.

This Turianism would form the basis for the "Jesus was Hungarian" theory you describe above. It's full name is commonly called the "sumerian-turanian theory". The sumerian-turian theory rests according to Michael Knüppel who describes it at length in his article Zur ungarischen Rezeption der sumerisch-turanischen Hypothese in der zweiten Hälfte des 20. Jahrhunderts (About the Hungarian reception of the sumerian-turian Hypothesis in the second half of the 20th century) in the simple fact that if you compare two languages long and hard enough, you will find similarities between them.

Such was the case in the 19th century with Sumerian Cuneiform and Hungarian. Cuneiform was known in Europe for some time at that point and had been decoded and translated by Friedrich Grotefend in 1802. The 19th century was the century where comparative linguistics really began, really took off, and gained a really political character. In comparative linguistic lay among other things the beginning of the concept of "Aryan" (another term for indo-germanic or indo-european – a language family discovered in the beginning of the 19th century) and "Semitic" (another family of languages) that the Nazis would later formulate into something new. But Sumerian was neither a semitic nor an indo-european language. Rather some people saw distinct similarities to the Basque language, Japanese as well as Hungarian. A language family termed "turian".

Suddenly Sumerology became hugely popular in Hungary because the scant connections found between Hungarian and Sumerian was rather convenient in the nationalist undertaking that Vámbéry and Csoma had not really succeeded in. As Knüppel puts it:

The desire for more autonomy and a higher importance of the Hungarian Element – the stronger participation in the social and especially political life of the Habsbrug Monarchy – was the framework for a quest of national self-discovery. Within this framework attempts to link the so-called "turanic" languages in their totality – or as a special variant (around the time of the turn of the century – with Hungarian, meaning to link the Hungarians with the speakers and writers from an ancient high civilization were extremely attractive. This connection to early ancient high cultures held a much higher draw than the linguistic link to nomanidic peoples of Northern Eurasia who in the sense of then contemporary understanding were seen as "primitive" and their civilization as "underdeveloped". Thus was born the idea that the Magyars were direct descendants of the Sumerians and thus could lay claim to be historically one of the most advanced cultures in all of Europe. "The Romans got nothing on our ancestors", was the parole of the day among nationalist Hungarian circles (though there were enough critics of this Hypothesis, both in Hungarian and an international setting).

While all this is still slightly less tenuous and questionable than what German fascists and nationalists came up with during the period of Nazi rule, Jesus did at first not enter into this. Jesus Turianism is indeed a phenomenon of the 1920s and closely tied with the rise of Fascism in Hungary, which came about after the revisonist tendencies in Hungary related to the loss of territory and the reactionary politics following the attempt to establish a Hungarian Soviet Republic after WWI. Who exactly came up first with the Jesus Hungary by way of the Parthians and Sumerians connection is unknown but Ferenc Szálasi, later leader of the Hungarian Arrow Cross party and brief president of Hungary in 1944 after the German occupation e.g. picked up Jesus Turianism in the 1920s, as did other later prominent Hungarian Fascists. While the theory did take a bit of a dive during socialist rule in Hungary, Jesus Turianism made a comeback after the end of socialist rule in 1989 and has throughout the 1990s one very prominent representative in Ferenc Badiny Jós who appeared several times on TV up until the early 2000s to argue his ideas.

The basic idea I mentioned at the beginning the basic of this theory that exists in several versions but in general, the idea is like this: Descended from the ancient high culture of the Sumerians are the Parthians, which adherents of Turianism like to claim as proto-Magyars who then during the period of the great migration went on to settle in Hungary thus making Hungarians related to not one but two of the ancient world's most successful empires that were not the Romans or the Greeks. Jesus comes into this because they claim that rather than having been a Jew, Mary was the daughter of a Parthian prince thus making Jesus also a Parthian prince. The original version of Christianity was also not something that developed out of Judaism but rather a refinement of ancient Parthian (and thus Hungarian) paganism. This makes the Hungarians the real descendants of the people of Jesus and thus practically the Original (and only "real") Christians. According to Hungarian right wing extremist party Jobbik, all of this can be proven via DNA analysis of the shroud of Turin that shows that Jesus shared Hungarian DNA for Hungarian DNA is unique in all the world and nobody else shares it. Here is an illustration of Parthian Hungarian Prince Jesus, who was also a renowned warrior and mystic according to the Jesus Turians. Lastly, the reason why nobody talked about this before the 1920s is not related to the fact that the whole idea is completely crazy. No, according to the Jesus Turians (and other Turians as well) that's because of a Habsburg conspiracy. According to them the Habsburgs were so envious of the glorious past of the Magyars that not only did they steal their crown, they also suppressed this information.

Now pretty much all of this is nonsense, even go so far as the family of turian languages itself. But when has that ever stopped nationalist extremists?

Sources:

• Michael Knüppel: Zur ungarischen Rezeption der sumerisch-turanischen Hypothese in der zweiten Hälfte des 20. Jahrhunderts in: Zeitschrift für Balkanologie, Bd. 42, Nr. 1 + 2 (2006).

• Irene Götz, Klaus Roth, Marketa Spiritova: Neuer Nationalismus im östlichen Europa: Kulturwissenschaftliche Perspektiven.