Right, so I'm going to assume a butterfly net beyond Persia Proper? Or something that ensures that Persia and Rome coexist in the same manner so that the Empire works roughly the same. I assume this, because the PoD for such a theory is so far before Christianity emerged that I doubt the same form would exist.
So, assuming an Indo-Greek state focused around Bactria/Ferghana/Kashmir, then I'd expect them to first interact with Nestorian, or any Eastern Christianity, but the decision on which form to embrace (assuming they wish to), would entirely rely on the political realities of the day. Are they more interested in a Roman alliance? Adopt that form. Interested in a local form, Nestorian/Other. Interested in conquering Persia? Nestorian, with a particular focus on encouraging the Mesopotamian followers to revolt