there is no proof that the Romans ever set foot in Gansu before the Christian era, there are reports that have revived discussion over whether a group of Romans offered their services to the Hun warlord Jzh Jzh in 36 B.C.

This idea was first proposed by Homer Hasenphlug Dubs, an Oxford University professor of Chinese history, who speculated in 1955 that some of the 10,000 Roman prisoners taken by the Parthians after the battle of Carrhae in southeastern Turkey in 53 B.C. made their way east to Uzbekistan to enlist with Jzh Jzh against the Han. Chinese accounts of the battle, in which Jzh Jzh was decapitated and his army defeated, note unusual military formations and the use of wooden fortifications foreign to the nomadic Huns. Dubs postulated that after the battle the Chinese employed the Roman mercenaries as border guards, settling them in Liqian, a short form of Alexandria used by the Chinese to denote Rome. While some Chinese scholars have been critical of Dubs' hypothesis, others went so far as to identify Lou Zhuangzi as the probable location of Liqian in the late 1980s.

So, the question remains, but its plausible, at least.