This information is totally right. Valerian was captured during the third agoge (military campaign) and skinned (if alive or from the dead body is unclear). The skin was dyed red and exposed at a temple, and shown to roman diplomats to intimidate them.

Sources:

• P. HUYSE, Die dreisprachige Inschrift Sabuhrs I. an der Kaba-i Zardust. 2 Bde. (London 1999), §22 & §30
• Lactantius: De mortibus persecutorum, 5,6