This is a bit of a complex web. A quick look around the web and you will soon get lost in contradictory stories on this one.
Apple assemble most of their products in China from components sourced from around the world.
Many iPhones are assembled in the Foxconn factory in Shenzhen in Southern China. I believe some are made at other locations but not the majority.
It is true that many of the components that make the iPhone are manufactured elsewhere and then shipped to Foxconn for assembly. Many think this allows them to claim it is not made in China and if that makes them feel better about themselves then who am I to argue?
The simple fact is that iPhone is made in China because the labour is cheap and someone wants to make more money.