There is a legend that Joseph of Arimathea escaped to Britain (Glastonbury) shortly after the death of Jesus (apparently, he was not on Herod's hit parade, according to this apocryphal legend).
Interesting story, but I don't believe that there is any more archeological evidence for it than for any of the other, numerous, Arthurian legends that came out from SW Britain.
Maybe that is what our cheesy FRiend is referring to.
Even if the unproven legend were true, the fact is that Britain was in the Roman Empire ever since 44 BC (or at least, what is now England and Wales), so to say they weren’t aware of Rome is hilarious