The exact origin Yu Hong is unknown but ancient Europe and China were not mysteries to each other. Rome and China had distant interactions with each other. Artwork in Naples features a Roman citizen in silk. Chinese historians document several ambassadors from Rome. Arabic and Central Asian traders acted as the go between when it came to material goods. Mohammad used China as a device to represent the end of the world.
While the above can explain how goods travelled to the West from China, it does not adequately answer the question of how Yu Hong's people arrived in China. When Marco Polo was crossing the Far East he heard stories of ancient others with similar features who were buried in the in the desert west. This combined with Hong prove a very old migration.
One of the more popular explanations for this phenomenon is a lost Roman legion. This theory is now being used to attract tourists to Chinese villages with people who have European features. Many of these Chinese who have European features like to claim they are descended from the Roman soldiers who were impressed into service by the Persians.
The debate continues on their origin. Some claim they are actually Central Asians who share the M17 origin that Catholicgauze has. No firm answers yet but a interesting mystery indeed.