Somebody (of questionable reputation) told me that "in ancient times" a european ethnicity lived in todays western China. Is this actually based on something, or completely made-up?

They may be referring to the story about Roman legionaries being settled in a village in China after being captured by Parthians. There are a few earlier threads on the topic, like this one: https://www.reddit.com/r/AskHistorians/comments/1wiry5/what_happened_to_the_10000_roman_soldiers/ . The answers by /u/Tiako and /u/XenophonTheAthenian suggest that it is unlikely.