A legion in India?

[Jona Lendering]

Last week, I met a man who had read a book in which it was stated that one Roman legion had surrendered to the Sassanians, had been sent to the east, had fought itself a way to the Indus valley, and sailed back to Egypt.

I had never heard this and, frankly, do not believe it, even though it is not inherently impossible. Does anyone have any thoughts about the origin of this anecdote? (The man has several times asked my opinion; it is obviously dear to him.)