You will need to build a third invisible third plot (with almost no data to save it quickly) to determine your legend:
data1 = (1:1:10)';
data2 = (1:2:10);
figure(1);
plot(data1,data1,'or'); hold on
plot(data2,data2,'-r'); hold on
%// legend plot
lp = plot(0,0,'-r','Marker','o','visible','off')
legend(lp,'data');

You need to pass the handle of this invisible plot to the command legend, or you can even put the invisible plot in the legend:
legend(plot(0,0,'-r','Marker','o','visible','off'),'data');
,
style = @(LineStyle, MarkerStyle) plot(0,0,LineStyle,'Marker',MarkerStyle,'visible','off')
legend(style('-r','o'),'data');
... 'color', 'LineWidth' , .
:
legend([style('-r','o'),style('-b','x'),style('-g','v')],{'1','2','3'});
