I followed that link, and it took me to the forward of the work, and I couldn't find any references to 'buddhist' or 'immolation', for instance.
Geography said:"From one place in India, and from one king, namely, Pandion, or, according to others, Porus, presents and embassies were sent to Augustus Caesar. With the ambassadors came the Indian Gymnosophist, who committed himself to the flames at Athens, like Calanus, who exhibited the same spectacle in the presence of Alexander."
Geography XV said:This writer states that at Antioch, near Daphne, he met with ambassadors from the Indians, who were sent to Augustus Cæsar. It appeared from the letter that several persons were mentioned in it, but three only survived, whom he says he saw. The rest had died chiefly in consequence of the length of the journey. The letter was written in Greek upon a skin; the import of it was, that Porus was the writer, that although he was sovereign of six hundred kings, yet that he highly esteemed the friendship of Cæsar; that he was willing to allow him a passage through his country, in whatever part he pleased, and to assist him in any undertaking that was just.
Eight naked servants, with girdles round their waists, and fragrant with perfumes, presented the gifts which were brought. The presents were a Hermes (i. e. a man) born without arms, whom I have seen, large snakes, a serpent ten cubits in length, a river tortoise of three cubits in length, and a partridge (?) larger than a vulture. They were accompanied by the person, it is said, who burnt himself to death at Athens. This is the practice with persons in distress, who seek escape from existing calamities, and with others in prosperous circumstances, as was the case with this man. For as everything hitherto had succeeded with him, he thought it necessary to depart, lest some unexpected calamity should happen to him by continuing to live; with a smile, therefore, naked, anointed, and with the girdle round his waist, he leaped upon the pyre. On his tomb was this inscription,—ZARMANOCHEGAS, AN INDIAN, A NATIVE OF BARGOSA, HAVING IMMORTALIZED HIMSELF ACCORDING TO THE CUSTOM OF HIS COUNTRY, HERE LIES.
That he was Buddhist is matter to speculation, that said.