The version option does not play well with the range option

[quinmars]

If you use the range option in conjunction with the version no letter will appear.

\documentclass{article}

\usepackage{unicode-math}
\setmainfont{TeX Gyre Pagella}
%\setmathfont{TeX Gyre Pagella Math}
\setmathfont[version=heros]{TeX Gyre Termes Math}
\setmathfont[version=heros,range=\mathit]{TeX Gyre Heros Italic}
\setmathfont{TeX Gyre Pagella Math}

\begin{document}
    $C$ {\mathversion{heros}$A$} $C$
\end{document}

Here the output is C C both in TG Pagella. If you put the \setmathfont{TeX Gyre Pagella Math} before the definition of the Heros version all math is using the Heros range.