This is correct. Herakles and Boreas were massively popular in the Greek army, and so the lands that were conquered/settled by the Greek brought worship of these gods with them. Since Buddhism traveled from India through Bactrian Afghanistan on its way to China, Korea, and Japan, it picked up a lot of artistic and religious pieces from those cultures along the way.

In addition to the wind bag carried by Fūjin (descended from Boreas' cloak) the lion skins and weapons carried by Niō in their depictions are thought to be inspired by Greco-Bactrian depictions of Herakles, who wore lion skins and carried a big club.