There is a letter thorn that suffered a great loss in Old English with its size being doubled and this double sound is hidden in plain sight. I think that thorn may be related to the Bactrian sho because I feel that a “sh” sound was the closest to a th, so it stuck.
The two letters look similar, but were used in different places (thousands of miles apart), in very different languages (Indo-Iranian vs Germanic), in different alphabets (Greek vs Runic), for completely different sounds (postalveolar vs dental).
Most notably, the first Runic inscriptions are attested from the second century CE, and the Bactrians had been using the Greek alphabet (with their extra letter sho) for centuries before that. This is strong evidence that the Bactrians couldn't have borrowed sho from the early Runic inscription-makers.