the Parthians didn't just disappear, their blood is all over the greater Khorasan. they split into 2, one settled and mixed with Persians (Persian didn't usually mix with nomads) and the rest stayed nomad and because their lifestyle was similar with Turks they slowly mixed with them. and a couple of centuries later Turkmen appear from the exact place the nomadic Parthians used to live, and they have a very similar lifestyle with Parthians but Turkified version.

these are all what some Turkmen claim, he had a lot of proof and it kinda made sense. basically, just like how Turkey is a mix of Anatolians and Turks, Turkmen are a mix of Turks and Parthians