We know that three legions had been completely destroyed during the war, with the remaining suffering at least 50% loses as well. However, I only know of one of them by name, the 8th who acted as a rearguard for the Imperial forces escaping the capital city. As far as I remember, no other instances had been mentioned of a legion being destroyed, and the only times it could have happened would be during the March of Thirst, and the flanking of the Bravil-Leyawiin defences.