If we go by the early traditions and legends, St. Thomas is identified with both Parthia (modern Iran, Iraq, Armenia, parts of Turkey, Georgia, Azerbaijan, Turkmenistan, Afghanistan and Tajikistan) and India.
There is some historical basis for this, since Edessa (the Osroene Kingdom, rather) - a place which boasted a sort of connection with Thomas (what was claimed to be his tomb was located there - one of two such places) - is also known as the ‘daughter of Parthia’, being connected to it culturally and for a time, even politically. Cultural and trade relations also existed between Osroene and northern India, particularly in the 3rd century. It’s not inconceivable that Thomas or at least some other Christian from that area went to either place.
Out of the two, Parthia has the more older claim chronologically; Origen and Clement of Alexandria already both link Thomas with it. The Indian connection became popular thanks in part to the apocryphal Acts of Thomas. However, some scholars have recently gone so far as to question the Indian tradition, noting that it appeared later than the one which places Thomas in Parthia. They think that the Acts of Thomas’ placing Thomas in India is informed by the particularly intensive east Syrian-north Indian trade relations of the 3rd century.
According to the Acts of Thomas, when the apostles were dividing the known world among themselves (so-and-so will evangelize to this place, etc.), Thomas received India as his lot. He refused to do so, leading Jesus to force him to do his mission by appearing in human form and selling him off to slavery (!) to a merchant named Abbanes.
Thomas eventually ends up in ‘India’, in a kingdom ruled by a king named Gondophares. Because of Thomas’ carpentry and architectural skills, the king commissions Thomas to make a palace. Thomas, however, used the funds as charity for the poor. The king, furious, throws Thomas in jail. Thomas was eventually released after the king’s recently-deceased brother Gad came back to life and told him of a palace in Heaven which Thomas built for Gondophares. Gad and Gondophares sought Thomas’ forgiveness and was converted.
The next thing we hear about Thomas in the Acts is that he is now in the realm of another king named Misdaeus, where he preaches and performs miracles. Misdaeus throws Thomas into jail for converting his wife (given the name Tertia), and eventually orders him executed under accusation of ‘sorcery’. Four armed soldiers lead Thomas to the top of a mountain and kill him with spears. Misdaeus eventually converts himself after dust from Thomas’ tomb heals one of his sons.
The thing about the kings in the Acts of Thomas is that they actually are somewhat based on real kings. ‘Gondophares’ was the name of an Indo-Parthian king that ruled over what is now modern Afghanistan and Pakistan somewhere around the 1st century BC or the 1st century AD. The name is most likely derived from the Indian or East Iranian version of an Old Persian name, Vindafarna. Gondophares’ brother Gad in the Acts might meanwhile have its origin from ‘Gadana’ or ‘Gadaranisa’, a name or title that appears in some of Gondophares’ coins.
Now the actual date of Gondophares’ reign is disputed. Whereas earlier it was common to assign him a reign of AD 20-46 or 21-47 - which might lead some plausibility to Thomas going to Indo-Parthia during the reign of this king - there were some recent attempts to push his date earlier, so that he is now said to rule somewhere during the 1st century BC.
A difficulty you have regarding the Indo-Parthian kings is that while you have coins containing what is apparently the names of kings (say, Pacores, Abdagases or Sanabares), we don’t have chronologies or lists that show clearly which followed whom, and when. Very few texts mention the Indo-Parthians, and inscriptions do not refer directly to them; the coins are the only thing we’re pretty much got.
Gondophares is often thought to be the first Indo-Parthian king, but we are still quite in the dark as to the order of his successors. What’s more confusing is that the name ‘Gondophares’ itself seems to have been used by one or more later kings as a sort of second name or title (kind of like ‘Caesar’). In other words, we aren’t exactly sure which Gondophares it was that Thomas actually met, if he did go to Indo-Parthia and if there really was more than one Gondophares.