Yeah, living in Colorado has always been weird hearing that we're "the west". We're about as middle of the country as you can get. 3 states to our west to get to the Pacific, 4 states to the east to get to the Atlantic.
I believe it's because these states are west of the Mississippi River and something something Louisiana Purchase (high school history was decades ago).
Ohio, Indiana, and Michigan are east of the Mississippi. We couldn't reliably cross the Appalachian Mountains until shortly before the American Revolution. Expeditions before Daniel Boone forged the Wilderness Road had to go around so the most direct route between NY and where Chicago is now went about halfway down Alabama. The Appalachians were the original western frontier and the Midwest was the Northwest Territories. As the country expanded westward and new territories were established and the Northwest Territories gained statehood they became the Midwest.