I do not believe Euron ever travelled to Valyria. He was banished by Balon after the incident with Victarion's wife, and have most likely just roamed the world, trying to gather power and treasures.
It is interesting to note that Euron likely captured Pyat Pree, which gives one cause to wonder about the reason for his return. It is clearly his plan to conquer the dragons with his horn, hence he might see the need to return home to get himself an army. We have seen a vision of what is likely Balon's assassin as told by the ghost of high heart:
I dreamt of a man without a face, waiting on a bridge that swayed and swung. On his shoulder perched a drowned crow with seaweed hanging from his wings.
With Euron's timely return to the Iron Islands, and his plans to conquer the world, I'd say it was Euron who hired this assassin.
With his penchant for drinking shade-of-the-evening, it is possible that he has seen visions -- or been tricked by a vengeful Pyat Pree to believe he has seen visions -- that motivated him to attempt this scheme.
As for why he has said he's sailed to Valyria, I'd say that's just lies to make himself out to be something he is not. If it were possible to sail to Valyria, I believe someone would have by now.