Definitely Roman empire, but it must be set after the year 80 AD, because the colosseum wasn't finished before that date. In my opinion a Roman AC game without the Colosseum would be just a wasted opportunity.
I would also love it if the player character is a senator who is secretly a Hidden One. That would allow a new kind of game mechanic where you can influence Roman politics and kind of change the game world around you.
You could for example influence the senate into discrediting a powerful member of Order of The Ancients in public, causing him to lose some of his allies and making him easier to assassinate.