The bane of Persian empires has always been that while they accumulates immense wealth as they lie between the West and the East, people move, a lot, sometimes in huge numbers, armed, and on horseback. Could one of the Persian Empires have built a Great Wall in Central Asia to keep them out, in the style of the Great Wall of China? For some reason I think either the Seleucids or the Sassanians would be the best positioned to build it.