Each legion is tied to a title. Here is a map of the various legions: https://forum.paradoxplaza.com/forum/threads/list-of-createble-legions-and-their-attached-provinces.889354/#post-22075320 If you give away a title associated you will lose the option to create them. With regards to the Circus Maximus, you need to be Christian to be able to restore it in the current version.