Is there any evidence that the legion was lost? and not just destroyed at Carrhae?
There is no evidence that I know of, of any kind of incursion of Romans in Han China at the time.

No evidence at all. The caucasians subsequently found in the area, could be descended from the Skythians/Scythians, a caucasian people who lived in Central asia. The "Fish tail" formation, (or armour, as the translation isn't clear) could also be describing Greeks. Greek kingdoms had existed in Afghanistan and N.India into the early st and 2nd Centuries AD, and the Greeks were popular as Mercenaries in the Indian Kingdoms then and subsequently.