Well, The Romans had their own religion. The Jews had theirs. Ancient peoples viewed religion differently than we do now. Judaism, especially ancient Judaism was not a "proselytizing" religion. Which means that Jews did not go around and suggest that people convert to their religion. The ancient Romans also did not go around forcing their beliefs on others either. You see, in the ancient world, religion was more closely tied to nationality and geography. One religious group didn't see another religious group as having the wrong religion. The ancient Romans very well could have believed that YHWH existed, but just didn't honor him. They probably also believed that the Egyptian gods existed, and more than likely paid homage to Egyptian gods when visiting Egypt.
In the ancient world, Take Greece for example. If you were Greek, you believed that all the gods of the Greek pantheon existed. Most people had a patron god. Zeus was the patron god of the Greeks. Individual cities/states within Greece usually had a patron god. If you lived in this city, you paid homage to that god. To not do so was seen as rude or disrespectful to that god, and to the people of that city. There very well may have been temples and shrines to other gods in that city, but usually a specific god was the cities patron god. Within each city, most people had patron gods of their homes. So when you visited someone, you paid homage to the patron god of their home. Even if that god was not your patron god. Your own patron god would even get angry with you if you didn't.
These traditions would apply all over. So even if you were Greek, and your house god was, say Dionysus, but you visited someone in Egypt whose patron God was say, Osiris, you would pay homage to Osiris while visiting them. Wherever you went, and whatever you did, you needed to pray to a different God. If your patron god was Dionysus, but you were going to travel somewhere by ship, you would want to pray to Poseidon.
This is where the uniqueness came in with Judaism. Abraham's patron god was YHWH. Abraham also made YHWH his "Elohim" which means that he swore that YHWH would be the only god that he would pray to. When God asked him to leave his home in Ur, Abraham was scared to do so, because he thought that he would be leaving his god. But YHWH said that he would always be with him. and it just went from there... This is what made Judaism unique in the ancient world.
So you can see how religious/spiritual beliefs were very different in the ancient world. And "conversion" didn't really exist. It was especially hard for someone who believed in/worshiped many gods to stop doing so and to only worship one god. The Old testament is full of God trying to get the Jews to stop believing in other gods.
This is why most romans probably wouldn't convert to Judaism. And Jews certainly wouldn't even acknowledge Roman gods.