No, I'm pretty up on history and no Roman Legion was lost in China. That would be a big deal and a we'll know fact. It would have been about 5,000 Romans and the Romans were efficient. They knew what they had where.
That said, there was a lot of trade back and forth over numerous trade routes. I wouldn't be at all surprised if a Roman managed to find his/her way to China at one time or another. 1,000 years or so before Marco Polo.
Edited: Abnninja on 20th May, 2017 - 6:05pm