It's not a true story. Usually, such fictional works are crafted to entertain and engage the audience through creative plotlines and characters that aren't based on real-life events.
I'm not sure which specific 'A Small Favor Based on True Story' you're referring to. There could be many works with such a title. It might be a book, a movie or a short story. If it's a movie, it could involve characters who are asked to do a small favor that has a big impact on the overall story, which is based on real - life events that inspired the writer or director.