At the beginning of the present era there were many conversions to Judaism all over the Middle East. In about 40 CE, in northern Iraq, the Royal Family and many of the people of Adiabene became Jews. It is estimated that there may have been as many as one million Jews around Babylonia at that time.
The above paragraph is about one third of the way down here.
The Church Fathers were obviously wrong here also as even Josephus says "The Ten Tribes beyond the Euphrates were of such a large number no one could estimate the total". [Antiquities XI, Chapter X, Paragraph 2]
Who do we believe....your guy or mine. The point remains....Our Lord told the Twelve to "Go to the Lost Sheep of the House of Israel". He didn't mean Rome.
Is it important that there is a difference between 'literally millions" and "It is estimated that there may have been as many as one million Jews around Babylonia at that time"?