Baby name site I checked, gave Albanian translation as "golden life" not "gold they are". And not all similar words have to have same roots. So you need full etymology of that.
Arjan is a place in Iran. Arjun is a Sanskrit name for males as well as a tree. Punjabies are likely to spell it as Arjan only. Arjun being most celebrated warrior in Mahabharata is very popular name here but not even once anyone associated it with colour gold.
Not even once Arya refers to any such quality as golden hair in ancient Sanskrit literature. Instead, there are certain moral values one has to uphold to be called an Arya. It even talks about bringing people in Aryan folds by educating them. So you may have easier time declaring it a religious sect than a race. Not that it referred to religion in particular either.