Lost Legion

The Lost Legion are a sellsword company active in Essos. They were invented for the Game of Thrones: A Telltale Games Series video game, and have no counterpart in the novels.

They boast that they are descendants of Old Valyria, and have strong Valyrian blood in their veins (i.e. like aristocratic families in Volantis and Lys). Several do have the purple-colored irises common among Valyrians, so there may be some truth that they are younger sons of aristocratic families that set out to seek their fortunes as mercenaries.

In the books
The Lost Legion was invented by Telltale Games and have no direct counterpart in the novels. However, there are numerous sellsword companies operating across the Free Cities and Slaver's Bay, many more than have been described or mentioned by name, so a group like the Lost Legion could quite plausibly exist in the background.