The idea of a lost Roman legion in China isn't taken seriously by scholars. See https://en.wikipedia.org/wiki/Liqian
Further west along the silk road from Gansu, the earliest documented inhabitants of Xinjiang were the Tocharians. They had brown, red, or blond hair, spoke two different Indo-European languages (Tocharian A and B), and were Buddhist. They're a more likely source of blond hair in western China.