"Romans in China. 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 Huns against the Han Chinese amry who were battling the region at the time. Chinese accounts of the battle, in which Jzh Jzh (a branch of Huns) 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 captured 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."
This theory hasn't found much support among serious scholars. There was a PBS TV program on this topic recently that made points mentioned in the article below.
Basically, Dub's thesis rests only on the 'fishscale' quote, but comparison with conventional historical Chinese use of the term suggests it could refer to a tight-packed formation, not necessarily a testudo. The palisades were widely used Central Asia, too. And efforts to trace European DNA in Lou Zhuangzhi residents have turned out nothing, either.
http://news.xinhuanet.com/english/2005-08/...ent_3396301.htm