Probably not *that* mysterious. There are a lot of peat bogs in Scotland, and if you’re quick and have a lot of help, legionaries are just as easy to stab in their sleep as anyone else. Wiping out a legion over a week up in the Scottish hinterlands would have been far too quick to get a message to Rome for help. There may even have been such a message, but it may have run afoul of bandits on the way, or some other traveling mishap.
Sorry to discourage your dreams but the Ninth carried on according to links in the Internet before finally disappearing as most legions eventually did.
Chances are a lot of the rank and file of the Nona Hispana were Celtiberians and relatives of their foes in Britain. Match that with the almost neurotic discipline of the Legion and you have the kind of fighting force which can face odds of over 10 to 1 and win.
Fnatasy and fact get conflated in the production of a good novel, e.g. the Real King Arthur and the character in Le Morte D’Arthur.