The main reason that I had them as Graeco-Roman was because the other major Roman religions (Mithraicism and the Solar cult, as well as Christianity) had not taken hold in the empire by that time. I don't remember writing that line, but I do remember that that was roughly the time when I anticipated the legion's defeat and consequent migration. As far as local populace, I doubt that all 10,000 legionaries would have survived the trek, and those that made it there would probably be vastly outnumbered, preserved only by their unity with each other and willingness to mingle with the local populace. I would not think they would become so numerous as to be the majority culture. So the rulers, yes, Roman, but not the public. As for the religion, unless someone can come up with a viable alternative that was in existence at the time of these events, I think Graeco-Roman is a good fit.
The Imperial Cult is an idea, but its traction was never huge, and the distance between the soldiers and their emperor (as well as any likeness of their emperor) would weaken the religious bond over the passing of several generations. The Graeco-Roman faith is more rooted in Roman culture and would likely not be lost as easily over time.