I've been listening to Dan Carlin's Hardcore History, and there he mentions that some of the Crassus ligioners, with units intact, became mercenaries after their defeat by Parthians. Some of them might have reached China. He mentions that there are some mentions of mercenaries that fight in the fish scale formation (i think he puts it). Is there anywhere where this is mentioned in more detail? how likely is it that some Romans were fighting as mercenaries in China?
Regarding this, a large part of the hypothesis that Roman legionaries fleeing Crassus's defeat at the hands of the Parthians ended up in China focuses on the remote village of Liqian, on the fringes of the Gobi. The inhabitants of Liqian have proven that two-thirds of their DNA was of Caucasian origin, and their blue and green eye colors, as well as fair hair, points strongly to correlation with Caucasian lineage. But Caucasian heritage and Roman heritage is fundamentally different. There are a few ethnic groups in China with fair hair and bright eyes, especially along the western and far northern frontiers. This is because of close proximity to the Russo-Slavic, Siberian, and Central Asian cultures.
So the explanation that these villagers were of Roman descent is somewhat dubious, since their lineage can be explained by other means. Artifacts correlating to this claim would have to be discovered before it can be truly verified. As Professor Maurizio Bettini said in a 2010 interview on the subject, "For it to be indisputable, one would need to find items such as Roman money or weapons that were typical of Roman legionaries... Without proof of this kind, the story of the lost legions is just a legend."
Still. You are right in saying there are Ancient Chinese records of soldiers fighting in "fish scale formation"... against them, however. The Parthians did capture 10,000 prisoners-of-war from the Romans after Crassus's defeat, and they then probably sent them to the eastern frontier. From there, a Xiongnu chieftain named Zhizhi possibly hired or bought some of them from the Parthians, who then fought in the recorded "fish scale formation" against the Han Dynasty's forces. This is a stretch theory, however; "fish scale formation" could mean the testudo formation, or it could just mean some other kind of unique formation the Han had never seen before.
So, while all this is theoretically possible and there are smatterings of evidence on all sides, there still isn't strong enough historical/archaeological correlation to verify all this as fact, not fiction. For now, at least.
Source: Dubs, Homer H. "An Ancient Military Contact between Romans and Chinese", in The American Journal of Philology, Vol. 62, No. 3 (1941), pp. 322–330.