They had to build a vehicle themselves... maybe one that was somehow powered/launched by a volcano (even though volcanoes don't put objects into space like that, but then all possible versions of this story have that problem in common), but still it has to be a vehicle they built themselves to be sent out from Earth in some way. There's just no natural or accidental way they could survive the trip to the asteroid, even if the asteroid itself were inhabitable... which, all by itself, wouldn't happen in the real world and thus indicates that they must have gone deliberately and modified it to suit themselves.

This eliminates the hard-science problems and boils it down to two soft-science issues:

1. How could they have developed such technology so long ago without the rest of the world noticing it then or since then?

2. Why would they have been motivated to try such a mission?

And those are the kinds of questions that storytelling is made of anyway...