1. move point to any word
2. type 'M-.' (xref-find-definitions)
3. an error is displayed correctly "No definitions found for: This"
But the problem is that an unrecognized word is added to the xref stack.
So the context menu shows "Go Back", and 'M-,' (xref-go-back) goes back
to that word.
FWIW, I'm not sure this is necessarily a bug. It looks like a bug in
your case, because you deliberately tricked Xref into using a word
that is definitely not a program symbol. But that is not the case in
a more reasonable situation, where point is on a symbol, but for some
reason the symbol's definition is not found, e.g., because the TAGS
table needs to be regenerated.