They are have same meaning

I'm a native English speaker and I have never heard "on the west," just like that. "On the west side," perhaps. But you would either say "in the west," as in, "In the West, there is a tradition of..." or "to the west," as in, "To the west of the Great Plains are the Rockies." Though a more natural phrase would be, "West of the Great Plains are the Rockies."

In the west sounds better to me, but it would depend on the context of the sentence.