If by stories you mean written, surely nowhere. There are some 40,000 years between the last Neanderthals and the invention of writing.
Though I’m not even a history hobbyist, it seems incredibly unlikely for those stories to be passed down orally for that long in any distinct manner.
We know cave paintings were remarkably consistent across extremely wide geographic areas for more than 15,000 years. It's not inconceivable pre-literate cultures could maintain the fundamentals of an oral tradition on these timescales.
The Aborigines in one area tell a story of a hill in their lands that one day spouted fire which created the land they live on. It’s actually an extinct volcano that extended the coastline 37,000 years ago creating their wetland habitat. Details linked.