Does it mention the route taken? I’ll have to check. If the went by boat, then yes. If they went south on foot through the Sinai they would have been outside Rome. That area was controlled by thr Nabateans.
And they’d have to negotiate with the Nabateans then... but if they could get out of the Roman Empire then they wouldn’t be liable to its taxes either....
Well the bible doesn’t tell us. Modern Christmas pageants often have the holy family on camelback, perhaps implied by the stabling feature of the inn there was no more room for people in.
But this isn’t a good example as there always WAS a way to get there within the Roman Empire. If I go from California to Florida and cut through Mexico, I didn’t have to.