Egypt and Cirenaica could form a sort of client state, but incorporation is not unlikely though. Southern Spain and Sicily were out of reach for the Sassanids I think. If the ERE falls, Southern Spain will fall to the Visigothic Kingdom and Sicily to the eventual post-Byzantine Italian (or Carthaginian) states. As in the TL I'm actually planning, the western remnants of the ERE would join the Visigoths, seeking help for pushing the Longobards out of Italy.
I think if Egypt were directly ruled from Ctesiphon directly, Sicily and Southern Spain are certainly out of reach for the Sassanids. However, if Egypt were ruled by a junior branch of the dynasty as the "Western Sassanid" empire the OP asked for, then I can very well see them incorporating such areas. The junior dynasty would have ambitions of improving its status, and Egypt wouldn't have the problem of Persia of always being distracted by what the central asian nomads were doing.
I suspect such a Western Empire would try to claim the mantle of "Roman Empire" though, so the future history of such a timeline may see them as less "Persian" and more "Roman, that happened to have a Persian ruling class".
Regarding religion, is it possible the creation of a Sassanid Church based on the heretic eastern churches and incorpoorating elements from Zoroastrianism? Maybe in a couple of centuries could evolve into a bizarre imperial Christian Church for all the Sassanid nations.
Both Zoroastrianism and Christianity at this point were codified, organized churches with priesthoods that were zealous about rooting out heresy. I don't think it would be likely that they would merge very much. You might see popular saints and heroes venerated equally by both faiths (and possibly even with believers of different religions celebrating the saint's holy day in combined congregations) like the cult of St George in OTL, which was popular among Christians and Muslims. Any further merging would need a new Prophet to come and reveal "the next religion", which would have to compete with both Christianity and Zoroastrianism, no matter how much it was just a combination of the two.
Does anyone else think this would be a fascinating alternate world though? Two roman empires, one based in Constantinople, one based in Alexandria (or heck, even three is possible, the Franks could still end up forming the Holy Roman Empire) competing for the Mediterranean. A continuing Persian Empire that shared a dynasty with Egypt and was engaged in a (mostly) friendly rivalry with their cousins. A world without Islam, but with a strange new religion spreading out of Egypt instead...
fasquardon