Maybe have a religion like that somewhere in the Hindukush Mountains or the Himalaya developing. Mybe a Vedic offshoot that somehow evolves into something large and attractive in both East and West of Middle Asia. Maybe have the regions of the Kalash/ Numismatik people the root of such an religion in the very early past.
Even IOTL, the Uighur Khaganate was notable for being the sole state in recorded history where Manichaeisn was the official state religion, so there is that to consider.
