I'm not sure that's the best way to frame the history.

The Achaemenids lost their Western provinces, along with the rest of their Empire, to Alexander of Macedon. His generals (the Diadochi), established dynasties thst ruled Hellenistic kingdoms that succeeded Alexander's Empire, and these kingdoms were conquered variously by the Romans and by the Parthians.

So in the case of, say, Egypt, there was a solid three centuries between the passing of Achaemenid rule and the Roman conquest.

There are certainly Middle Persian and later discussions of Alexander, if that's what you're after? My immediate access to specifically Sasanian sources is not super-extensive, but I have a few at hand, and a lot of later ones.