Christie's had a Roman Glass gaming die up for bid back in December 2003. I only started playing Dungeons and Dragons Online (DDO) in 2006, so even if I saw this auction in 2003, I wouldn't be interested. Now that I am addicted to DDO, I take notice. In the MMO, every time you attack, you roll a virtual die to see how much damage you deal to the creatures. You can actually see this polyhedral die light up on your screen.
Here's the description of the die:
A ROMAN GLASS GAMING DIE Circa 2nd Century A.D. Deep blue-green in color, the large twenty-sided die incised with a distinct symbol on each of its faces 2 1/16 in. (5.2 cm.) wide. Acquired by the current owner's father in Egypt in the 1920s.

Either I am easily fascinated or I'm really geeky. So what does this tell us? Well the most simple conclusion would be that the Romans play with 20-sided dice. We cannot really tell if they used them in conjunction with other game paraphernalia (e.g. mini figures, rulebook, etc.). The gaming die predates DnD for almost 200 years, so there's really no way Romans played DnD back then.
But still......