Is it a kind of contact lens? Is there more information about this (making-of, documentaries, etc.)?
Yes, they used mirrored (light reflecting) contact lenses.
From this edited version of Shooting Westworld by Michael Crichton
Three problems were especially tricky. One was the robot eyes. I wanted eyes that looked only slightly unreal, not strikingly bizarre. After some experimentation, we settled on eighty percent reflectant mirrored contact lenses, which gave us flexibility to control the "kick" by lighting. They also had the virtue of permitting the actors to see through them.
Also from Oohlo article,
You might notice (especially in the header picture) a particular glow in the Gunslinger’s eyes (Cylon red spine, anyone?). That is no digital effect; Brynner wore mirrored (light reflecting) contact lenses.