Can I ask where you heard that? During the first centuries CE there was a significant amount of commerce between India and Rome, and there is some evidence from south Indian poetry that Roman guards and mercenaries were valued, but I am unaware of anything about women, specifically. If you give me a source I can go into more detail!

Worth noting that the term used here for "Greek" is yavana, and that really referred to anyone from the Mediterranean world. People in India did not distinguish between Greeks and Romans any more than Greeks and Romans distinguished between Sanskritic North Indians and Dravidian South Indians.

I know very little, and would myself be very interesting in learning more, about the role of Greek women as royal bodyguards.

However there was a fair amount of contact between Greeks and Indians in Antiquity, so there could be several sources for these female bodyguards. Firstly there were Greeks settlements in the region, mainly in modern-day Afghanistan but at times stretching further into what is now Pakistan, as u/toldinstone has discussed here and u/Daeres, here. And there were also quite a lot of trade between India and the Roman Empire, often via Egypt which makes it likely Greeks would have been involved. This u/Tiako (here) and toldinstone again (here) has written about. Since some Indians even came to Rome it would not be surprising for Greeks to be in India