I know which documentary you are refering to. In fact, it was produced by a Singaporean company.

The basis for the theory rests on the word of an English professor (since deceased). The village in China has the same name that the Chinese used to call Rome - Li Jian. It was also noted that in a battle around the area, the local commander wrote in one of his reports of the Hsiung Nu using a "fish scale formation". The professor conjectured that he was describing the Roman testudo.

Indeed, the inhabitants of the village Li Jian believe strongly that they are descended from Romans. Their local folklore tells of their ancestors being yellow haired barbarians, and the present day inhabitants do indeed have very caucasian features.

The theory is that during one of battles in Parthia, the Romans were defeated and sold into slavery. They were brought further east, where some of them escaped and finally found their way to the western border of China. It's a long journey, but not that long - China's borders extend very far.

Also, if I may add, China and Rome DID know of each other. Li Jien used to be the Chinese term for the Lighthouse at Alexandria, and over time, Li Jen came to be used to refer to the whole of the Roman Empire. Rome and China traded quite extensively, even if they did rely on middle easterners as middlemen.

Anyway, the conclusion in that documentary was that the professor was probably mistaken. He seems to have got the times for the battle with the Hsiung Nu and the battle in Parthia mixed up... I think the interval between them was too long, or the Hsiung Nu battle took place before the one at Parthia or something. As for the caucasian features of the inhabitants, the village, being on China's western border, would have seen a lot of foreigners - steppe horsemen, as well as Iranians and Turks and other Aryans. That's probably where their caucasian blood comes from. The name of the village I think started out as two different characters from the ones used to refer to Rome, but over time, the two got confused, even in China.

In any case, the people of the town still like to believe. It's a nice story.