Parthia

The Parthian Empire also known as the Arsacid Empire was a major Iranian political and cultural power in ancient Iran from 247 BC to 224 AD.

The Parthians were originally a nomadic tribe called the Parni. Thought to be the tribe of the Scythians, the Parni seems to have been a part of the Seleucid Empire. They were located southeast of the Caspian Sea. They eventually gained independence from the Seleucid Empire and formed their own culture and empire over a long period of time.

The wars between Parthia and Rome were initiated by Rome and not by the Parthians. Over almost five centuries of the Parthian systems of rule there was a variety of religious sects. But Religion was not just an ideology but part of a system that provided social insurance.

The Zoroastrian influence declined. Christians under the Roman State was often persecuted but their acceptance in the Parthian Empire occurred more readily. Christianity spread among the population seemed to be word of mouth. The adoption seemed to spread because of its tolerance, its appeal to individual liberty.

The people may have also been more acceptance because of the failure and corruption of the failure and corruption in the existing religions. The Zend-avesta was a sacred book containing laws and liturgy which were the teachings of Zarathushtra (Zoroaster).

Being older it may have become subject to corruption. The Maji's arrival seeking a new king, the appearance of John the Baptist and events on the Day of Pentecost considering the text of Acts of Apostles, it becomes easier this newer religion or reformation of religion was adopted.

there were elements of the geography of the Parthian Empire where Christianity was mostly accepted and adopted. Christian communities was concentrated near Adiabene and Osrhoene.

The founder of the Christian community of Edessa appears to be the Apostle Thaddaeus. Christianity seems to spread first where Aramaic and its Semitic idiomatic dialects was present.

In Matthew 3:4 John's "raiment of camel's hair" was likely made of Bactrian camel's hair which was common in Parthia, the hereditary enemy of Rome. And "a leathern girdle about his loins" also suggests Parthian priest wearing a "Hemyan" belt.
Also the idea of "his meat was locusts and wild honey" is not about eating bugs but Carob.

The wise men of Matthew 2 seems to be the Megistanes who saw Jesus as the descendent of Phares, King David, and Matthan the technical heir to the Parthian throne.

Soba was said to be the daughter of Matthan and mother of Elisabeth, who was the mother of John the Baptist. This also made Joseph "Mary’s first cousin, once removed, as they shared the same grandfather, Matthan" See (Matthew 1:15)

This made them descended from both Judean and Parthian royalty." See Jesus