Name appropriation that's obvious is pretty rare. Part of this is the frequent difficulty of borrowing names across language barriers. When a Chinese name crossed into Japanese or English, it could get fairly mangled. To, say, Confucius.

The major role, though, would seem to be how people regard their personal onomasticon, that list of words considered appropriate as people's names. In some cultures, such as the Anglophone naming of the last hundred years, people are just wild for borrowed novelty. This has spread elsewhere, with names like Naomi sneaking into popularity in Japan (it totally fits the sounds used in Japanese). But notice that, even while there have been recent changes in Chinese ming, it has no sign of borrowing outside names.

Novelty in names is more usually provided by constructing new names inside the onomasticon. This may be names which are new combinations of parts of old names, to sound attractive but ignoring "meaning," seen from American to Azeri onomastica, or names that are all meaning without connection to old names. These might be the Puritan "New Names" like Fear-not and Tribulation, or those created for ethnic minorities wanting names in their own language, whether Lithuanians making alternatives to the Russian onomasticon or Basques wanting Euskerian names for babies, rather than those considered Hispanic, even when they originated in Basque centuries ago.

I have noticed that novelty names are more likely for girl babies, almost anywhere. Masculine naming tends to be more conservative, except in rebellious groups.

That said, I never ran into a Classical Roman named for a Greek. First, Roman naming is too rigid. There's a very tiny list of praenomen, personal names. The few non-Latin items come from Etruscan, as the whole praenomen/nomen/cognomen system does. Second, naming follows a slope of power in most cultures, and Greeks were slaves and freedmen in the Roman mind. Names migrate from the powerful to the weaker. When the Normans conquer England, Normans ignore Anglo-Saxon names, but good AS families immediately start naming sons Robert. When the Romans conquered Gaul, they took no Gaulish names, but Gauls adopted Roman ones where they could - and often dropped them when Rome weakened. Later, Franks did not adopt Gaulish names, but Gauls went to Frankish ones, eventually giving us the like of Charles, Louis, and François.

Later, Christian veneration of saints shoehorned in local variations on their Hebrew, Greek, and Latin names, but not as thoroughly as you might think until the Reformation.

But you want to know about Steppe tribes and their near neighbors.

Getting the onomastica is rough. Kievan Rus, easier because of the birchbark letters. Abodrite Slavs, I'm stuck at three. This is largely because they weren't in easy contact with more library-oriented cultures, they didn't issue coinage with king's names one them, and they didn't leave lots of grave stones and temple dedications with their names on them.

But I haven't seen any evidence of Rus borrowing Skythian names, though their onomasticon got progressively more Slavic, then infiltrated with Greek Orthodox names.

Ask yourself: where would they get the name? Are these scholarly people who would make themselves familiar with these names, then admire some individual so much as to intrude his name into their lineage? Most of the Slavic names were coming from the kid's Slavic grandfather in mixed marriages. Alexander is so widely spread as a name thanks to the adulation of Alexander the Great (slope of power, again). What Skythian would seem so powerful to the conquering Rus?

Also, some cultures are hostile to novelty naming. Herodotus specifically mentions Steppe tribes as meting the death penalty to any who would try to change their customs, which would include naming.

All in all, I would be very surprised to find this happening. It might not be impossible to trip over an example - almost anything can happen in naming, within cultural rules. But it's exceedingly unlikely.

For all that, note that Attila the Hun has a very Gothic name. But the Huns were a conglomeration of tribes with different languages and onomastica, not a single cultural unit like the Mongols.